[R] Fwd: time series regression

From: bereket weldeslassie <berekket_at_gmail.com>
Date: Thu, 20 Mar 2008 09:54:23 -0600

 Hi Everyone,
One more information to my question. I am trying to do a time series regression using the lm function. *My intention is to investigate the relationship between a dependent time series variable and several independent time series variables.* According to the durbin watson test the errors are autocorrelated. And then I tried to use the gls function to accomodate for the autocorrelated errors. My question is how do I know what ARMA process (order) to use in the gls function? Or is there any other way to do the time series regression in R? I highly appreciate your help. Thanks,

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