For normal panel data, the standard R tool is the nlme package,
documented in Pinheiro and Bates (2000) Mixed-Effects Models for S and
S-Plus (Springer). See the examples in ?corARMA.
I recommend you spend some quality time with Pinheiro and Bates
(2000). If you do that, I
Dear List,
I am new to TS-Modeling in R. I would like to fit an ARMA(1,1) model
for a balanced panel, running Y on a full set of unit and year dummies
using an arma(1,1) for the disturbance:
y_it=unit.dummies+yeardummies+e_it
where: e_it=d*e_it-1+u_it+q*u_it-1
How can I fit this model in R?
