[R] Fwd: time series regression

[Thibaut Jombart]

bereket weldeslassie wrote:
>  Hi Everyone,
> One more information to my question. I am trying to do a time series
> regression using the lm function. *My intention is to investigate the
> relationship between a dependent time series variable and several
> independent time series variables.* According to the durbin watson test the
> errors are autocorrelated. And then I tried to use the gls function to
> accomodate for the autocorrelated errors. My question is how do I know what
> ARMA process (order) to use in the gls function? Or is there any other way
> to do the time series regression in R? I highly appreciate your help.
> Thanks,
> Bereket
>
> 	[[alternative HTML version deleted]]
>
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>   
Hi,

Temporal autocorrelation seems to be a contagious process... even for 
emails. I received yours three times in 5 minutes.

Concerning your question, I am no expert in time series, but you may 
also try ordinary least squares after 'removing' autocorrelation. This 
can be achieved by regression onto a lagged variable (see lag.listw in 
spdep, which can also be applied to temporal context), or onto 
eigenvectors of a temporal proximity matrix.

Cheers,

Thibaut.

-- 
######################################
Thibaut JOMBART
CNRS UMR 5558 - Laboratoire de Biométrie et Biologie Evolutive
Universite Lyon 1
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jombart at biomserv.univ-lyon1.fr
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