[R] AR in R

[John Fox]

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>.

I hope that this helps,
  John

-----------------------------------------------------
John Fox
Department of Sociology
McMaster University
Hamilton, Ontario, Canada L8S 4M4
email: jfox at mcmaster.ca
phone: 905-525-9140x23604
web: www.socsci.mcmaster.ca/jfox