[R] prediction using gls with correlated residuals

From: Carlo Fezzi <fezzi_at_stat.unibo.it>
Date: Wed 01 Jun 2005 - 04:38:35 EST

Dear all,
I am a beginner user of R and I tried to fit a gls model with explanatory variables and an AR(1) correlation component using the function "gls" with:

correlation = corAR1 (form = ~ 1)

It should mean that the residual follows an AR(1) process, isn't it?

The problem is that, if I use the funcion "predict" I noticed that the predicted values are the same as if I estimate the same model with the function "lm" considering the residuals indipendent (this is true both in and out of sample).

Does it means that "predict" doesn't use the information about the residual correlation to improve predictions?

How can I overcome this problem?

Thank you so much for your help,

Carlo Fezzi

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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Jun 01 04:46:26 2005

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