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2011 Jun 08
1
Autocorrelation in R
....350440 Prob(F-statistic) 0.000000
# following code based on
http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm
# "And now for some regression with autocorrelated errors."
# I've tried to follow the example in Pinheiro & Bates (2004), p.
239-244, with no success.
gc_ts = ts(ex32[66:166,"gc"])
yd_ts = ts(ex32[66:166,"yd"])
library(nlme)
trend = time(gc_ts)
fit_lm = lm(gc_ts ~ trend + yd_ts)
acf(resid(fit_lm))
pacf(resid(fit_lm))
gls_ex32_ar1 = gls(gc_ts ~ trend + yd_ts, correlation = corAR1(form=
~yd_ts),method="ML")
summary(gls_...