how to fit arma(1,1)?
On Wed, 16 Aug 2006 15:26:13 -0400 Tom Boonen wrote:
Dear List, I am new to TS-Modeling in R. I would like to fit an ARMA(1,1) model for a balanced panel, running Y on a full set of unit and year dummies using an arma(1,1) for the disturbance: y_it=unit.dummies+yeardummies+e_it where: e_it=d*e_it-1+u_it+q*u_it-1 How can I fit this model in R?
Look at arima() from stats (note that it's ar*i*ma) which takes an `xreg' argument through which you can pass additional regressors. There's a worked example on ?arima and also on ?UKDriverDeaths. hth, Z
arma() does not seem to take covariates (or I don't understand how to specify the function so that it would). Thank you very much. Best, Tom
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance