Downey, Patrick
2010-Dec-30 15:40 UTC
[R] Extracting a formula from Arima for structural break analysis
Hello, I fit an ARMA model to a series using the arima function. Now I wish to use the "breakpoints" function from the {strucchange} package to test for structural breaks. The breakpoints function requires a formula as input. The examples show how to write an AR model as a formula, but I have MA terms as well, making it somewhat more complicated. I would like to know one of the following two things: 1) Is it possible to extract a formula from an object of class Arima (produced by the arima function), and if so how? 2) How would one write a symbolic fomula to represent an ARMA model? If I'm approaching this totally wrong, please make suggestions. Thanks, Mitch