Re: [R] Fwd: time series regression

From: Thibaut Jombart <jombart_at_biomserv.univ-lyon1.fr>
Date: Thu, 20 Mar 2008 17:16:18 +0100

bereket weldeslassie wrote:
> 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,
> Bereket
>
> [[alternative HTML version deleted]]
>
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>
Hi,

Temporal autocorrelation seems to be a contagious process... even for emails. I received yours three times in 5 minutes.

Concerning your question, I am no expert in time series, but you may also try ordinary least squares after 'removing' autocorrelation. This can be achieved by regression onto a lagged variable (see lag.listw in spdep, which can also be applied to temporal context), or onto eigenvectors of a temporal proximity matrix.

Cheers,

Thibaut.

-- 
######################################
Thibaut JOMBART
CNRS UMR 5558 - Laboratoire de Biométrie et Biologie Evolutive
Universite Lyon 1
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69622 Villeurbanne Cedex
Tél. : 04.72.43.29.35
Fax : 04.72.43.13.88
jombart_at_biomserv.univ-lyon1.fr
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Received on Thu 20 Mar 2008 - 16:19:02 GMT

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