[R] time series regression

yyan liu zhliur at yahoo.com
Fri Jul 8 23:22:14 CEST 2005

  I have two time series y(t) and x(t). I want to
regress Y on X. Because Y is a time series and may
have autocorrelation such as AR(p), so it is not
efficient to use OLS directly. The model I am trying
to fit is like

e(t) is iid normal random error. Anybody know whether
there is a function in R can fit such models? The
function can also let me specify how many beta's and
rho's I can have in the model. 

Thx a lot!


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