 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

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