[R-sig-ME] Which package handles both auto-correlation and, heteroskedacity?

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Mon May 14 17:26:23 CEST 2012


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Date: Mon, 14 May 2012 10:00:20 -0500
From: Luna<lunamoonmoon at gmail.com>
To: r-sig-mixed-models at r-project.org
Subject: [R-sig-ME] Which package handles both auto-correlation and
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Which package handles both auto-correlation and heteroskedacity?

Hi all,

Using the terminology on this webpage:


We are in need of doing the "Dynamic Panel Models".

We would like to incorporate "auto-correlation" along the time axis and the
"heteroskedacity" cross-sectionally.

> From literature reading, the "time series" concept is sometimes called

Could you please recommend a package for that (nlme or lme4 or others)?

And could you please point us to a concrete example on this?

Thanks a lot!

You already answered your own question....nlme. Chapter 5 of Pinheiro and Bates contains plenty of examples.
So does our 2009 volume (Zuur et al 2009). Or a recent paper in MEE:

Neglected biological patterns in the residuals. A behavioural ecologist’s guide to co-operating with heteroscedasticity
Ian R. Cleasby&  Shinichi Nakagawa



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