Transfer Function Estimation
Suppose you estimate the ARIMA(p,d,q) paramters for an input x[t] using the arima function. Is there an easy way to apply these values to the output y[t] for transfer function modeling? For example, if I estimate a (2,1,1) ARIMA for x[t] with ar(1) = 0.5882, ar(2) = -0.01517, and ma(1) = -0.9688, how can apply these to y[t] so I can then estimate the ccf between the two sets of pre-whitened values? Rick B.