On Wed, 2003-09-24 at 19:31, Vito Muggeo wrote:
> Dear all,
> I'm interested in fitting time-series linear models with I(1) errors. Namely
> given
> y_t=a+b*t+u_t
> the random term u_t are such that
> u_t-u_{t-1}=e_t~iid N(0,\sigma)
>
library(nlme)
help(lme) #note the optional correlation argument
help(corClasses)
You can specify AR(1) (among other) correlation structures in the error
term with lme().
The cannonical reference for the nlme library is
@Book{
PinheiroBates2000,
author = {Jos\'e C. Pinheiro and Douglas M. Bates},
title = {Mixed-Effects Models in S and S-PLUS},
publisher = {Springer-Verlag},
year = {2000},
address = {New York}
}
Cheers
Jason
--
Indigo Industrial Controls Ltd.
http://www.indigoindustrial.co.nz
+64-(0)21-343-545
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