Re: [R] Linear model and time series

From: Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at>
Date: Mon 02 Apr 2007 - 09:47:12 GMT


On Sun, 1 Apr 2007, John C Frain wrote:

> This question is not as simple as might appear.

But it might as well be - I try to answer the questions people ask instead of guessing what they wanted to ask but did not.

> As the data are time
> series one should be very concerned about the distribution of the
> residuals, Are the series stationary and if not are they integrated
> of the same order and cointegrated.

<snip>

> My recommendation to Andre would be to study a good book on
> time-series analysis. One is not doing him a favour by recommending a
> procedure to him that may lead to spurious results when not applied
> properly.

All the points you raise above are valid, of course, but note that I did not "recommend" a procedure. The original poster wrote down a linear model that he wanted to estimate by OLS (aka lm()) and I just told him how he can do that conveniently in R.

Whether or not the linear model is appropriate in this situation (and there are time-series relationships where it is) I cannot say - but, contrary to you, I assume that the poster knows what he is doing.

Z



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Mon Apr 02 19:52:40 2007

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.1.8, at Mon 02 Apr 2007 - 10:30:36 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.