Re: [R] fMultivar OLS - how to do dynamic regression?

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Sun 20 Aug 2006 - 16:20:21 EST

      The documentation for 'OLS' says that it is a wrapper for 'lm'; if you type 'OLS' at a command prompt, you will see that it does little more than calling 'lm' and returning the output.

      An example of 'dynamic regression' appears in the example section of the help page for 'arima'. Other example can be found in Sect. 14.5 of Venables and Ripley (2002) Modern Applied Statistics with S (Springer). If you haven't already, I suggest you get a copy of this book and work through ch. 14, aided by 'ch14.R' in folder '~library\MASS\scripts' of your R installation directory. It shows how to use both 'gls' in the 'nlme' package and 'arima' for this kind of problem.

      If after this you would like further help from this listserve, please submit another post. When you do, however, I encourage you to include commented, minimal, self-contained, reproducible code to help illustrate your question and something you've tried that did not seem satisfactory, as suggested in the posting guide "www.R-project.org/posting-guide.html". I'm confident that people who include such examples with a carefully written question tend get more helpful replies sooner.

      Hope this helps. 
      Spencer Graves

Kerpel, John wrote:
> Hi folks!
>
>
>
> Does anybody know how to use the OLS function in fMultivar to do dynamic
> regression? I've tried specifying lags in OLS using a data series
> created in fSeries and it doesn't seem to work. I've done dynamic
> regression using dyn$lm and I was wondering how to accomplish the same
> thing using the OLS function from fMultivar. Thanks!
>
>
>
> John
>
>
> [[alternative HTML version deleted]]
>
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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 and provide commented, minimal, self-contained, reproducible code. Received on Sun Aug 20 16:24:27 2006

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