I'm trying to estimate a multiple linear regression in R with an equation like this:
regr <- lm(rate ~ constant + askings + questions + 0)
askings and questions are quarterly data time-series, constructed with
askings <- ts(...).
The problem now is that I got autocorrelated residuals. I know that it is possible to fit the regression using the gls function, but I don't know how to identify the correct AR or ARMA error structure which I have to implement in the gls function.
I would try to estimate again now with,
gls(rate ~ constant + askings + questions + 0, correlation=corARMA(p=?,q=?))
but I'm unfortunately neither an R expert nor an statistical expert in general to identify p and q.
I would be pleased If someone could give me a useful hint. Thank you very much in advance!