# Load libraries
      library(nlme)      # Estimation of mixed effects models
      library(lme4)      # Alternative package for mixed effects models
      library(plm)       # Econometrics package for linear panel models
      library(arm)       # Gelman & Hill code for mixed effects simulation
      library(pcse)      # Calculate PCSEs for LS models (Beck & Katz)
      library(tseries)   # For ADF unit root test
      library(simcf)     # For panel functions and simulators
      # Estimate a random effects AR(I)MA(p,q) model using lme (Restricted ML)
      lme.res1 <- lme(# A formula object including the response,
        # the fixed covariates, and any grouping variables
        fixed = GDPWdiff ~ OIL + REG + EDT,

        # The random effects component
        random = ~ 1 | COUNTRY,

        # The TS dynamics: specify the time & group variables,
        # and the order of the ARMA(p,q) process
        correlation = corARMA(form = ~ YEAR | COUNTRY,
                              p = 1,  # AR(p) order
                              q = 0   # MA(q) order
        )
      )