hello R experts,
my question is regarding arma modelling and specification.
in another older, statistics package , after determining stationarity, i would try to work out the number of ar and ma lags using an lm test.
to do this i would
1. regress my dependant variable on an intercept term then
2. use LM test for serial correlation, and finally
3. use the p value of the ols residuals to get the maximum lags for the arma specification.
I am interested to know how to do this LM test in R say using a function, using perhaps the fseries library?
Thank you in advance,
Sri
Also, thank you very much for the Roptions package I have been using the options functions regularily.