time series regression
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]]
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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 Biom?trie et Biologie Evolutive Universite Lyon 1 43 bd du 11 novembre 1918 69622 Villeurbanne Cedex T?l. : 04.72.43.29.35 Fax : 04.72.43.13.88 jombart at biomserv.univ-lyon1.fr http://lbbe.univ-lyon1.fr/-Jombart-Thibaut-.html?lang=en http://adegenet.r-forge.r-project.org/