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From: Ming Chen on 8 Mar 2010 16:45
Hi All,

Has anyone have used generalized linear models to model time series
data especially multivariate time series? I came upon a book on this
topic.
the book name is "Regression Models for Time Series Analysis" and you
can find it sold on amazon.

There is no way that my company would buy SAS/ETS. Now I am on the
steep learning curve of modeling multivariate time series data using
R. The time series stuff itself is new for me and the lack of
documentation and different and confusing R library makes matter even
worse. Actually I focus more on model reference than the forecasting
accuracy. Maybe the regress analysis is a better options. Is there any
papers or examples I can read and learn?

Thanks.

Ming Chen
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