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ARMA with other regressor variables
3 messages · Preetam Pal, Nilesh Gupta, Jose Iparraguirre
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Dear Preetam, I suggest that you read the TSA package documentation (and, if possible, the book by Cryer and Chan (Time Series Analysis with Applications in R) -it contains the function arimax which fits ARIMA models with exogenous variables. One thing: once you run your model, you will get the estimates including the t-stats, but won't be able to extract the latter as an object. However, the caschrono package can do this for you. Regards, Prof. Jos? Iparraguirre Chief Economist Age UK -----Original Message----- From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Preetam Pal Sent: 02 May 2013 11:15 To: r-help at r-project.org Subject: [R] ARMA with other regressor variables Hi, I want to fit the following model to my data: Y_t= a+bY_(t-1)+cY_(t-2) + Z_t +Z_(t-1) + Z_(t-2) + X_t + M_t i.e. it is an ARMA(2,2) with some additional regressors X and M. [Z_t's are the white noise variables] How do I find the estimates of the coefficients in R? And also I would like to know what technique R employs to find the estimates? Any help is appreciated. Thanks, Preetam
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