Date: Wed, 06 Dec 2006 12:06:46 +0100
From: Lulla OPATOWSKI <lopatows at pasteur.fr>
Sender: r-help-bounces at stat.math.ethz.ch
Precedence: list
--===============0156932283==
Content-Disposition: inline
Content-Type: text/plain
Content-Transfer-Encoding: quoted-printable
Content-length: 954
Hi,
I am using 2 times series and I want to carry out a regression of Seri1=20
by Serie2 using structured (autocorrelated) errors.
(Equivalent to the autoreg function in SAS)
I found the function gls (package nlme) and I made:
gls_mens<-gls(mening_s_des~dataATB, correlation =3D corAR1())
My problem is that I don=92t want a AR(1) structure but ARMA(n,p) but the=
=20
execution fails :
gls_mens<-gls(mening_s_des~dataATB, correlation =3D corARMA(p=3D52))
Error in "coef<-.corARMA"(`*tmp*`, value =3D c(11.2591629857661,=20
9.1821585359071, :
Coefficient matrix not invertible
This should be because most of the coefficients <52 are near to 0.
I am looking for a way to be able :
- To evaluate automatically my ARMA structure (if it exists)
- To specify manually the not null lags for my ARMA structure (as a=20
vector for example)
Does anyone know about such functions?
Thank you for your help
[[alternative text/enriched version deleted]]
--===============0156932283==
Content-Type: text/plain; charset="us-ascii"
MIME-Version: 1.0
Content-Transfer-Encoding: 7bit
Content-Disposition: inline