R help - Dec 2006 - Questions about regression with time-series

Hi,

I am using 2 times series and I want to carry out a regression of Seri1 
by Serie2 using structured (autocorrelated) errors.
(Equivalent to the autoreg function in SAS)

I found the function gls (package nlme) and I made:

gls_mens<-gls(mening_s_des~dataATB, correlation = corAR1())

My problem is that I don’t want a AR(1) structure but ARMA(n,p) but the 
execution fails :

gls_mens<-gls(mening_s_des~dataATB, correlation = corARMA(p=52))
Error in "coef<-.corARMA"(`*tmp*`, value = c(11.2591629857661, 
9.1821585359071,  :
	Coefficient matrix not invertible

This should be because most of the coefficients <52 are near to 0.

I am looking for a way to be able :
- To evaluate automatically my ARMA structure (if it exists)
- To specify manually the not null lags for my ARMA structure (as a 
vector for example)

Does anyone know about such functions?

Thank you for your help


	[[alternative text/enriched version deleted]]

I think the function 'arima' can handle this, except for
the automatic evaluation of the ARMA orders.

Giovanni
> Date: Wed, 06 Dec 2006 12:06:46 +0100
> From: Lulla OPATOWSKI <lopatows at pasteur.fr>
> Sender: r-help-bounces at stat.math.ethz.ch
> Precedence: list
> 
> --===============0156932283=> Content-Disposition: inline
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> 
> Hi,
> 
> I am using 2 times series and I want to carry out a regression of Seri1=20
> by Serie2 using structured (autocorrelated) errors.
> (Equivalent to the autoreg function in SAS)
> 
> I found the function gls (package nlme) and I made:
> 
> gls_mens<-gls(mening_s_des~dataATB, correlation =3D corAR1())
> 
> My problem is that I don=92t want a AR(1) structure but ARMA(n,p) but
the> =20
> execution fails :
> 
> gls_mens<-gls(mening_s_des~dataATB, correlation =3D corARMA(p=3D52))
> Error in "coef<-.corARMA"(`*tmp*`, value =3D
c(11.2591629857661,=20
> 9.1821585359071,  :
> 	Coefficient matrix not invertible
> 
> This should be because most of the coefficients <52 are near to 0.
> 
> I am looking for a way to be able :
> - To evaluate automatically my ARMA structure (if it exists)
> - To specify manually the not null lags for my ARMA structure (as a=20
> vector for example)
> 
> Does anyone know about such functions?
> 
> Thank you for your help
> 
> 
> 	[[alternative text/enriched version deleted]]
> 
> 
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