[R] spurious regression in R

yyan liu zhliur at yahoo.com
Thu Jul 7 23:27:41 CEST 2005

 I am trying to do a spurious regression in R but I
can not find the function. Anybody used it before? The
problem I have is try to do a regression with several
time series. An alternative is to use the GLS function
to fit the linear regression with the correlation
structure AR(3) for the response (or residual). I hope
the residuals after the GLS regression will be
independent judged by Box-Ljung test. However, I dont
know how the residuals are defined in the GLS
function. Is it just y-yhat or y-yhat times the
(covariance matrix)^(-1/2). Because y-yhat still has
the AR(3) covariance structure and surely be rejected
by the Box-Ljung test. The latter will be independent
if the assumption of AR(3) correlation structure is
right. Any suggestion are highly appreciated. 

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