[R] time series regression

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


Hi:
  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
Y(t)=beta0+beta1*X(t)+rho*Y(t-1)+e(t)

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!

liu



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