Hello:
Have you looked at Pfaff (2008) Analysis of Integrated and
Cointegrated Time Series with R, 2nd ed. (Springer)?
I have not read this book, but the title and table of contents
sounds like it contains many alternative answers to your question, with
the "best" among those being determined by aspects of your application
that you did not mention. Moreover, the author has made substantive
contributions to R, as witnessed by the following:
library(RSiteSearch)
Pfaff <- RSiteSearch.function("Pfaff")
summary(Pfaff)
This identified 105 help pages in 5 packages containing the name
Pfaff.
Hope this helps.
Spencer
Michael wrote:
Hi all,
Suppose I have 100 simultaneous time series, what's the best
statistical procedure to figure out a transformation of the data, and
see if we could squeeze most of the information into a few transformed
time series?
Thanks!
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