Displaying 1 result from an estimated 1 matches for "glsar1fit".
2004 Mar 09
2
corARMA and ACF in nlme
...t's a time series), the errors appear to
follow an AR1 process (ar(ts(glsfit$residuals)) selected order 1). So,
when I go back and try to do the simultaneous regression and error fit with
gls, the acf and pacf plots of residuals from the old model (glsfit) and
those plots of the new model (glsAR1fit, below) look exactly the same (a
significant autocorrelation at lag of 1).
Any ideas out there as to what I may be doing wrong? Is there an error in
my code?
Here's my R code for the simultaneous model fit (taking a phi estimate=0.6
from a previous step <ACF(glsfit)>):
glsAR1fit&l...