I have been working on a time series research model using Space Time Autoregressive Moving Average (GSTARIMA).
Specifically, I want to investigate the result of two GSTARIMA models with their errors correlated, hence, I'm looking at GSTARIMA SUR Model.
Currently, I cannot find any library to conduct the GSTARIMA model but I've been able to get some code to get it done. The challenge right now is how to use the SUR approach to investigate the impact of the correlated error terms.
I really need help and I don't mind working with anyone on this.