[R] spurious regression in R

From: yyan liu <zhliur_at_yahoo.com>
Date: Fri 08 Jul 2005 - 07:27:41 EST


Hi:
 I am trying to do a spurious regression in R but I can not find the function. Anybody used it before? The problem I have is try to do a regression with several time series. An alternative is to use the GLS function to fit the linear regression with the correlation structure AR(3) for the response (or residual). I hope the residuals after the GLS regression will be independent judged by Box-Ljung test. However, I dont know how the residuals are defined in the GLS function. Is it just y-yhat or y-yhat times the (covariance matrix)^(-1/2). Because y-yhat still has the AR(3) covariance structure and surely be rejected by the Box-Ljung test. The latter will be independent if the assumption of AR(3) correlation structure is right. Any suggestion are highly appreciated. Thx!



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