[R] lm and time series: simple question

From: <mwh_at_indiana.edu>
Date: Fri 17 Jun 2005 - 07:50:46 EST

Hello:

This question is partly about R and partly out of my ignorance about time series.

I want to regress one time series on another, taking into account the autocorrelation (in an AR1 model) within each series. I am interested in how the standard error changes when the acf is taken into account.

I've made both of my datasets into ts objects and used the basic lm function (with na.action=NULL) to no effect (i.e. the resulting standard error is the same as if they were not times series). I've also looked at binding the two series together with ts.union or ts.intersect, but then I am left with a single object, and don't understand how to regress one of the components of this onto the other.

Any help on this subject would be appreciated.

cheers,
Matt



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Fri Jun 17 07:53:39 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:32:44 EST