Use the arima function with the xreg option that is a vector or matrix of external regressors. Use AIC or BIC when identifying the error process.
Hannu On Thu, Mar 20, 2008 at 5:54 PM, bereket weldeslassie <[EMAIL PROTECTED]> wrote: > 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 > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
