[R] Errors using nlme's gls with autocorrelation

From: zerfetzen <zerfetzen_at_yahoo.com>
Date: Fri, 02 May 2008 12:37:15 -0700 (PDT)

I am trying out a generalized least squares method of forecasting that corrects for autocorrelation. I downloaded daily stock data from Yahoo Finance, and am trying to predict Close (n=7903). I have learned to use date functions to extract indicator variables for Monday - Friday (and Friday is missing in the model to prevent it from becoming full rank). When I run the following code...

> library(nlme)
> MyModel <- gls(Close ~ Monday + Tuesday + Wednesday + Thursday,

        correlation=corARMA(p=2), data=MyData, method="ML")

...I get the following error...

Error in corFactor.corARMA(object) :
  Calloc could not allocate (62457409 of 8) memory

...Does anybody know what I'm doing wrong? I appreciate any help. Thanks.

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