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a0001
2007 May 07
0
Analyzing "Stacked" Time Series
...ny, output.
arima1 <- arima(X, order = c(1, 0, 0))
fit.gls001 <- gls(X ~ YO + YD + ZO + ZD,
correlation = corARMA(p = 2), method = "ML")
fit.gls002 <- gls(X ~ YO + YD + ZO + ZD +
lag(YO) + lag(YD) + lag(ZO) + lag(ZD),
correlation = corARMA(p = 1), method = "ML")
ar001 <- ar.ols(cbin(X, YO, YD, ZO, ZD))
Here is my example:
xAB <- as.ts(round(rnorm(10, 0, 1), 2), start = c(1990, 1))
xAC <- as.ts(round(rnorm(10, 0, 1), 2), start = c(1990, 1))
xBA <- as.ts(round(rnorm(10, .75, 1.5), 2), start = c(1990, 1))
xBC <- as.ts(round(rnorm(10, .25, 1.9), 2),...