Hi,
I am trying out a generalized least squares method of forecasting that
corrects for autocorrelation. I downloaded daily stock data from Yahoo
Finance, and am trying to predict Close (n=7903). I have learned to use
date functions to extract indicator variables for Monday - Friday (and
Friday is missing in the model to prevent it from becoming full rank). When
I run the following code...
> library(nlme)
> MyModel <- gls(Close ~ Monday + Tuesday + Wednesday + Thursday,
correlation=corARMA(p=2), data=MyData, method="ML")
...I get the following error...
Error in corFactor.corARMA(object) :
Calloc could not allocate (62457409 of 8) memory
...Does anybody know what I'm doing wrong? I appreciate any help. Thanks.
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