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From: xlr82sas on 8 Mar 2010 21:20
On Mar 8, 1:45 pm, chenm...(a)GMAIL.COM (Ming Chen) wrote:
> 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

Hi,

You might want to check out R

dyn Time Series Regression
ArDec Time series autoregressive-based decomposition
bentcableAR Bent-Cable Regression for Independent Data or
Autoregressive Time Series
dse Dynamic Systems Estimation (time series
package)
FinTS Companion to Tsay (2005) Analysis of Financial
Time Series
FitAR Subset AR Model Fitting

Regards
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