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This is a statistics question not an R question. When calculating the sample correlation coefficient cor(x_t,y_t) between say two variables, x_t and y_t t=1,.....n ( one can assume that the variables are in time but I don't think this really matters for the question ), does someone know where I can find any piece of literature that says that each (x_j,y_j) pair has To be independent from the

Hi, I would like to use R to estimate the following model: X(t) = a + b1*X(t-1) + b2*X(t-2) + c1*Y(t) + c2*Y(t-1) + c3*Y(t-2) Is there any R function that performs this type of estimation? I know that if I only have one time series (i.e. lagged value of X) on the right hand side then there are R functions to do the estimation. I am thinking a work around by preparing X(t-1), X(t-2),Y(t),Y(t-1)