R help - Mar 2003 - linear model with arma errors

Dear all,

I'm looking for how can I estimate a linear model with ar(ma) errors :

y(t)=a*X(t)+e(t) with
P(B)e(t)=Q(B)u(t)

where u is a white noise and P, Q are some polynomes.

Could you help me ?

Gr?gory Benmenzer

"Gregory BENMENZER" <gregory.benmenzer at gazdefrance.com>
writes:
> Dear all,
> 
> I'm looking for how can I estimate a linear model with ar(ma) errors :
> 
> y(t)=a*X(t)+e(t) with
> P(B)e(t)=Q(B)u(t)
> 
> where u is a white noise and P, Q are some polynomes.
> 
> Could you help me ?
> 
> Gr?gory Benmenzer
Perhaps function gls in the nlme package.  See

help('gls', package = 'nlme')

That's discussed in Pinhiero and Bates, Mixed Effects Models in S and 
S-Plus.  I don't have the book in my hand now, so I can't tell you 
exactly where to find it.  However, I'm pretty confident that it can be 
done in "lme".

Spencer Graves

Gregory BENMENZER wrote:
> Dear all,
> 
> I'm looking for how can I estimate a linear model with ar(ma) errors :
> 
> y(t)=a*X(t)+e(t) with
> P(B)e(t)=Q(B)u(t)
> 
> where u is a white noise and P, Q are some polynomes.
> 
> Could you help me ?
> 
> Gr?gory Benmenzer
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> http://www.stat.math.ethz.ch/mailman/listinfo/r-help

> Dear all,
> 
> I'm looking for how can I estimate a linear model with ar(ma) errors :
> 
> y(t)=a*X(t)+e(t) with
> P(B)e(t)=Q(B)u(t)
> 
> where u is a white noise and P, Q are some polynomes.
> 
> Could you help me ?

Isn't this what arima in library ts does? Put X(t) into xreg and specify
the order of the arma error via the order argument.

The documentation for arima doesn't actually explain how xreg enters the
model, but if it is like the S-Plus arima.mle() function then it does
what you want. The BIG advantage of the R implementation is that it
gives inference for the regression coefficients.

[Aside to Brian Ripley: Can you please add a few lines to the arima help
file to define the model with a non-null xreg?]

Cheers,
Rob


___________________________________________________
Rob J Hyndman
Associate Professor & Director of Consulting
Department of Econometrics & Business Statistics
Monash University, VIC 3800, Australia.
http://www-personal.buseco.monash.edu.au/~hyndman/