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
--
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year, Room No. N-114
Statistics Division, C.V.Raman
Hall
Indian Statistical Institute, B.H.O.S.
Kolkata.
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