time series regression
Hello For the analysis of multivariate time series use package vars for VAR models and urca for VECM models, unit root and cointegration tests. The author of these package wrote also a book "analysis of integrated and cointegrated time series with R" which can be usefull. See http://pfaffikus.de/ Matthieu Quoting bereket weldeslassie <berekket at gmail.com>:
Hi Everyone, I am doing a time series regression (one dependent time series variable, 6 independent time series variables and 32 annual observations). I have the problem of cointegration, autocorrelation and multicollinearity. I am considering an error correction model of the form: diff(lnY(t))=a+b1*lnY(t-1)+b2*lnX(t-1)+b3*diff(lnX(t))+error and not able to solve all problems. Any suggestion how to built a good model that solves these problems? I appreciate your help. Thanks, Bereket [[alternative HTML version deleted]]
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