[R] GLS with nlme

Janmaat, John john.janmaat at ubc.ca
Fri Nov 2 15:56:35 CET 2007

Hello All,

This is my third time attempting to post this message.  I don't see it
in the archive, so I'm guessing it is not getting through.  If I am
wrong, my apologies.

I am trying to do a GLS regression, (X'V^-1X)^-1X'V^-1y, using the gls()
function from the nlme package.  I have the covariance matrix V.  I have
been searching for a way to specify the correlation structure using V,
and have had little luck.  I have found a few other messages from people
who have had the same problem.  Is there a way to do this?  If it
requires building my own corStruct, where can I look for information to
do this?



John Janmaat, Assistant Professor of Economics
IK Barber School of Arts and Sciences (Unit 6)
University of British Columbia Okanagan
3333 University Way, Kelowna, BC, V1V 1V7

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