[R] assuming AR(1) residuals in OLS

[Prof Brian Ripley]

You will need

library(nlme)

first.

But not for ?arima, which seems the more obvious way to do this simple 
example.

On Mon, 16 Feb 2009, Michael Kubovy wrote:

> ?gls
>
> On Feb 16, 2009, at 12:28 PM, constantine wrote:
>
>> In other statistical software, such as Eviews, it is possible to
>> regress a model with the Least Squares method, assuming that the
>> residuals follow an AR(q) process.
>> For example the resulting regression is something like
>> 
>> y = 1.2154  + 0.2215 x + 0.251 AR(1)
>> 
>> How is it possible to do the same in R?
>
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-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
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