On Thu, 16 Jun 2005 [EMAIL PROTECTED] wrote: > This question is partly about R and partly out of my ignorance about > time series. > > I want to regress one time series on another, taking into account the > autocorrelation (in an AR1 model) within each series. I am interested in how > the standard error changes when the acf is taken into account.
This does not happen with least-squares fitting as done by lm. You can use arima or gls (in package nlme). Note that both assume a model for the residuals, not for the series themselves. You could also make a joint model of the two time series. That is probably not what you want. > I've made both of my datasets into ts objects and used the basic lm > function (with na.action=NULL) to no effect (i.e. the resulting standard > error is the same as if they were not times series). I've also looked > at binding the two series together with ts.union or ts.intersect, but > then I am left with a single object, and don't understand how to regress > one of the components of this onto the other. -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
