[R] time series regression

From: yyan liu <zhliur_at_yahoo.com>
Date: Sat 09 Jul 2005 - 07:22:14 EST

  I have two time series y(t) and x(t). I want to regress Y on X. Because Y is a time series and may have autocorrelation such as AR(p), so it is not efficient to use OLS directly. The model I am trying to fit is like

e(t) is iid normal random error. Anybody know whether there is a function in R can fit such models? The function can also let me specify how many beta's and rho's I can have in the model.

Thx a lot!


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 Sat Jul 09 07:27:38 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:33:26 EST