[R] time series regression

From: bereket weldeslassie <berekket_at_gmail.com>
Date: Thu, 10 Apr 2008 14:56:54 -0600

I am doing a time series regression (one dependent time series variable, 7 independent time series variables and 32 annual observations). I have the problem of cointegration, autocorrelation and multicollinearity. I am considering an error correction model of the form: diff(lnY(t))=a+b1*lnY(t-1)+b2*lnX(t-1)+b3*diff(lnX(t))+error and not able to solve all problems.
Any suggestion how to built a good model that solves these problems? I appreciate your help.

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