[R-SIG-Finance] Fwd: time series regression

stigler3 at etu.unige.ch stigler3 at etu.unige.ch
Sat Apr 12 15:22:10 CEST 2008


For the analysis of multivariate time series use package vars for VAR  
models and urca for VECM models, unit root and cointegration tests.  
The author of these package wrote also a  book "analysis of integrated  
and cointegrated time series with R" which can be usefull. See  


Quoting bereket weldeslassie <berekket at gmail.com>:

>  Hi Everyone,
> I am doing a time series regression (one dependent time series variable, 6
> independent time series variables and 32 annual observations). I have the
> problem of cointegration, autocorrelation and multicollinearity. I am
> considering an error correction model of the form:
> diff(lnY(t))=a+b1*lnY(t-1)+b2*lnX(t-1)+b3*diff(lnX(t))+error
> and not able to solve all problems.
> Any suggestion how to built a good model that solves these problems? I
> appreciate your help.
> Thanks,
> Bereket
> 	[[alternative HTML version deleted]]
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