Hi,

I am using 2 times series and I want to carry out a regression of Seri1 
by Serie2 using structured (autocorrelated) errors.
(Equivalent to the autoreg function in SAS)

I found the function gls (package nlme) and I made:

gls_mens<-gls(mening_s_des~dataATB, correlation = corAR1())

My problem is that I don’t want a AR(1) structure but ARMA(n,p) but the 
execution fails :

gls_mens<-gls(mening_s_des~dataATB, correlation = corARMA(p=52))
Error in "coef<-.corARMA"(`*tmp*`, value = c(11.2591629857661, 
9.1821585359071,  :
	Coefficient matrix not invertible

This should be because most of the coefficients <52 are near to 0.

I am looking for a way to be able :
- To evaluate automatically my ARMA structure (if it exists)
- To specify manually the not null lags for my ARMA structure (as a 
vector for example)

Does anyone know about such functions?

Thank you for your help


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