[R] dynamic regression

John Fox jfox at mcmaster.ca
Fri Jul 30 17:39:42 CEST 2004

Dear Bob,

If you mean regression with autocorrelated errors, take a look at the gls
(generalised least squares) function in the nlme package.

I hope this helps,

> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch 
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of bob mccall
> Sent: Friday, July 30, 2004 10:13 AM
> To: r-help at stat.math.ethz.ch
> Subject: [R] dynamic regression
> Greetings:
> Is there an simple way to do dynamic regressions in R? 
> >From what I've seen, one must use arima() and construct the 
> X matrix with lagged values etc. and modify Y as well.
> Thanks,
> Bob

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