[R] a time-series question

Michael Roberts mroberts at ers.usda.gov
Wed Nov 8 16:34:19 CET 2000


I am a new R user but somewhat familiar with S-plus.  Can
someone please tell me if the following model can be easily 
estimated in R?

I have a lot of time series data to which I would like to
fit the following two-variable system:

p_t = f(t) + e_t (v_t-1, v_t-2, v_t-3)

y_t = g(t) + v_t

f(t) and g(t) are deterministic (nonparametric) functions
of time, e_t and v_t are random errors, with e_t correlated
with past errors of v_t.  I would like to test this model against
one where v_t also is autocorrelated.


Michael J. Roberts
Resource Economics Division, PMT
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