Message-ID: <001101c88b6f$d413fe90$7c3bfbb0$@net>
Date: 2008-03-21T16:22:59Z
From: Richard Saba
Subject: tseries(arma) vs. stats(arima)
Hello,
The "arma" function in the "tseries" package allows estimation of models
with specific "ar" and "ma" lags with its "lag" argument.
For example: y[t] = a[0] + a[1]y[t-3] +b[1]e[t-2] + e[t] can be estimated
with the following specification : arma(y, lag=list(ar=3,ma=2)).
Is this possible with the "arima" function in the "stats" or in other time
series packages like fArima, forecast, or FinTS? They all take a "lag"
argument. I would like to have the ability to estimate models like the one
above while utilizing the "xreg" argument available in the other arima
functions .
Thanks,
Richard Saba
sabaric at auburn.edu