Nonspherical Models

Model or correct effects of heteroscedasticity and correlation


arima Create ARIMA or ARIMAX time series model
regARIMA Create regression model with ARIMA time series errors


autocorr Sample autocorrelation
lbqtest Ljung-Box Q-test for residual autocorrelation
parcorr Sample partial autocorrelation
archtest Engle test for residual heteroscedasticity
arima Convert regression model with ARIMA errors to ARIMAX model
hac Heteroscedasticity and autocorrelation consistent covariance estimators
fgls Feasible generalized least squares
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