[R] assuming AR(1) residuals in OLS
Prof Brian Ripley
ripley at stats.ox.ac.uk
Mon Feb 16 20:33:49 CET 2009
You will need
But not for ?arima, which seems the more obvious way to do this simple
On Mon, 16 Feb 2009, Michael Kubovy wrote:
> 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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> and provide commented, minimal, self-contained, reproducible code.
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)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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