bereket weldeslassie wrote: > Hi Everyone, > One more information to my question. I am trying to do a time series > regression using the lm function. *My intention is to investigate the > relationship between a dependent time series variable and several > independent time series variables.* According to the durbin watson test the > errors are autocorrelated. And then I tried to use the gls function to > accomodate for the autocorrelated errors. My question is how do I know what > ARMA process (order) to use in the gls function? Or is there any other way > to do the time series regression in R? I highly appreciate your help. > Thanks, > Bereket > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org 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. > > > Hi,
Temporal autocorrelation seems to be a contagious process... even for emails. I received yours three times in 5 minutes. Concerning your question, I am no expert in time series, but you may also try ordinary least squares after 'removing' autocorrelation. This can be achieved by regression onto a lagged variable (see lag.listw in spdep, which can also be applied to temporal context), or onto eigenvectors of a temporal proximity matrix. Cheers, Thibaut. -- ###################################### Thibaut JOMBART CNRS UMR 5558 - Laboratoire de Biométrie et Biologie Evolutive Universite Lyon 1 43 bd du 11 novembre 1918 69622 Villeurbanne Cedex Tél. : 04.72.43.29.35 Fax : 04.72.43.13.88 [EMAIL PROTECTED] http://lbbe.univ-lyon1.fr/-Jombart-Thibaut-.html?lang=en http://adegenet.r-forge.r-project.org/ ______________________________________________ R-help@r-project.org 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.
