On Wed, 16 Jul 2003, John Fox wrote: > Dear Steve, > > At 11:45 AM 7/16/2003 -0700, CHRISS Steve wrote: > >R Help, > >How does one do a least squares regression with an AR component (for any > >order) in R? > > > >Thanks, > >Steve Chriss > > Do you mean a model with AR errors? If so, you can use the gls (generalized > least squares) function in the nlme package. Some details and an example > with AR(2) errors are in > <http://socserv.socsci.mcmaster.ca/jfox/Books/Companion/appendix-timeseries-regression.pdf>.
You can also use the function arima() in R itself, and that is sometimes more flexible. Examples of both are in Venables & Ripley's MASS (2002). -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help
