subject:"\[R\] Arima model, breusch godfrey\/breusch pagan test"

Re: [R] Arima model, breusch godfrey/breusch pagan test

2012-05-28 Thread Achim Zeileis

On Mon, 28 May 2012, and_mue wrote: Hi all I did an estimation of a simple regression model (ror_xxx~ror_spi_xxx) and assessed the quality of this estimation. After having detected that there are indications of autocorrelatio and an AR(1) process, I used an arima model: absi.arima=arima(ror_ab

[R] Arima model, breusch godfrey/breusch pagan test

2012-05-28 Thread and_mue

Hi all I did an estimation of a simple regression model (ror_xxx~ror_spi_xxx) and assessed the quality of this estimation. After having detected that there are indications of autocorrelatio and an AR(1) process, I used an arima model: absi.arima=arima(ror_absi, order=c(1,0,0), xreg=ror_spi_absi)