[R] (no subject)

From: s viswanath <ru68y7s_at_myrealbox.com>
Date: Mon 19 Jul 2004 - 14:03:20 EST


hello R experts,

my question is regarding arma modelling and specification.

in another older, statistics package , after determining stationarity, i would try to work out the number of ar and ma lags using an lm test. to do this i would

  1. regress my dependant variable on an intercept term then
  2. use LM test for serial correlation, and finally
  3. use the p value of the ols residuals to get the maximum lags for the arma specification.

I am interested to know how to do this LM test in R say using a function, using perhaps the fseries package?

Thank you in advance,

Sri



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