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bls001
2007 May 07
0
Analyzing "Stacked" Time Series
...;- lm(X ~ YO + YD + ZO + ZD)
But anything involving lags is not correct, since it seems?at best?to be
treating my ?stacked? time series (i.e., 6 series of length 10) as one
series of length 60. For example, these give questionable, if any, 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:...