RE: [R] dynamic regression

From: John Fox <jfox_at_mcmaster.ca>
Date: Sat 31 Jul 2004 - 01:39:42 EST


Dear Bob,

If you mean regression with autocorrelated errors, take a look at the gls (generalised least squares) function in the nlme package.

I hope this helps,
 John

> -----Original Message-----
> From: r-help-bounces@stat.math.ethz.ch
> [mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of bob mccall
> Sent: Friday, July 30, 2004 10:13 AM
> To: r-help@stat.math.ethz.ch
> Subject: [R] dynamic regression
>
> Greetings:
>
> Is there an simple way to do dynamic regressions in R?
> >From what I've seen, one must use arima() and construct the
> X matrix with lagged values etc. and modify Y as well.
>
> Thanks,

>
> Bob



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