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2011 Jun 30
0
CCF of two time series pre-whitened using ARIMA
Hi all, I have two time series that I would like to correlate but as they are autocorrelated, I am "pre-whitening" them first by fitting ARIMA models, then correlating their residuals....as described in https://onlinecourses.science.psu.edu/stat510/?q=node/75 However, http://www.stat.pitt.edu/stoffer/tsa2/Rissues.htm discusses some issues with ARIMA in R. In particular, for issue 2, if there is any differencing, a constant term is not included, but the solution is to 1) input a series that has already been differenced and not include an orde...