I think the function 'arima' can handle this, except for
the automatic evaluation of the ARMA orders.
Giovanni
Date: Wed, 06 Dec 2006 12:06:46 +0100
From: Lulla OPATOWSKI [EMAIL PROTECTED]
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Hi,
I am using 2 times series and I want to carry out a regression of Seri1=20
by Serie2 using structured (autocorrelated) errors.
(Equivalent to the autoreg function in SAS)
I found the function gls (package nlme) and I made:
gls_mens-gls(mening_s_des~dataATB, correlation =3D corAR1())
My problem is that I don=92t want a AR(1) structure but ARMA(n,p) but the=
=20
execution fails :
gls_mens-gls(mening_s_des~dataATB, correlation =3D corARMA(p=3D52))
Error in coef-.corARMA(`*tmp*`, value =3D c(11.2591629857661,=20
9.1821585359071, :
Coefficient matrix not invertible
This should be because most of the coefficients 52 are near to 0.
I am looking for a way to be able :
- To evaluate automatically my ARMA structure (if it exists)
- To specify manually the not null lags for my ARMA structure (as a=20
vector for example)
Does anyone know about such functions?
Thank you for your help
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