[R] models with I(1) errors

Vito Muggeo vito.muggeo at giustizia.it
Wed Sep 24 09:31:46 CEST 2003


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)

Please, could anyone suggest me any reference (book, article, R functions)
dealing with such models?

Many thanks in advance,
regards,
vito




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