[R-SIG-Finance] Systemfit package/Autocorrelation

Arne Henningsen arne.henningsen at googlemail.com
Tue Feb 23 10:07:11 CET 2010


Currently, systemfit cannot account for auto-correlation and a
Durbin-Watson test has not been implemented yet, because I usually
have cross-sectional data, where autocorrelation is not an issue.
However, you are welcome to register at R-Forge and implement these
(or other) features in the systemfit package.

Best wishes,

Arne Henningsen

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