[R] a time-series question
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
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch
More information about the R-help