GLM correcting for serial correlation

Karl 

Check out
http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm

Search for "regression with autocorrelated errors" 

This offers two approaches ... using gls from the nlme package (as
suggested by Matthieu) or using arima with the xreg parameter

Best regards

Pete

-----Original Message-----
From: Matthieu Stigler [mailto:matthieu.stigler at gmail.com] 
Sent: Monday, December 14, 2009 4:21 AM
To: Karl Schriek
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] GLM correcting for serial correlation

?gls from package nlme?

2009/12/14 Karl Schriek <kschriek at gmail.com>

Hi

I have a stationary time series to which I want to fit a linear model

with

an autoregressive term to correct for serial correlation, i.e. using

the

formula At = c1*Bt + c2*Ct + ut, where ut = r*ut-1 + et

(i.e. ut is an AR(1) term to correct for serial correlation in the

error

terms)


Does anyone know what to use in R to model this?


Thanks
Karl

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