In package TSA?
You may need to do some studying for yourself, this is complicated stuff.
As I read the help page, the intention is that the transfer= bit is to allow a
_covariate_ to affect the process in an ARMA-like fashion. So c(1,0) would be
AR(1)-like which if I remember correctly corresponds to an exponentially
decaying effect of instantaneous shocks to the system. And c(0,0) would be
MA(0)-like, which I suppose would be an effect that only affected the same
period as the instantaneous shock. In the example, we have the same covariate
(Sept. 2001) contributing with both kinds of effect, so xtransf= has the same
variable twice.
-pd
On 06 Oct 2014, at 19:11 , Erin Hodgess <erinm.hodgess at gmail.com>
wrote:
> Hello!
> I have about the arimax function, please:
> If you see the example page, you see the following:
> # Exhibit 11.6
> air.m1=arimax(log(airmiles),order=c(0,1,1),seasonal=list(order=c(0,1,1),
> period=12),xtransf=data.frame(I911=1*(seq(airmiles)==69),
> I911=1*(seq(airmiles)==69)),
> transfer=list(c(0,0),c(1,0)),xreg=data.frame(Dec96=1*(seq(airmiles)==12),
>
Jan97=1*(seq(airmiles)==13),Dec02=1*(seq(airmiles)==84)),method='ML')
> Now the part that I am puzzled about the "transfer" argument,
please. It is
> supposed to be the MA order and the AR order, respectively. However, the AR
> order is 0. Should that be reversed, please?
> Thanks,
> Erin.
>
> --
> Erin Hodgess
> Associate Professor
> Department of Mathematical and Statistics
> University of Houston - Downtown
> mailto: erinm.hodgess at gmail.com
>
> [[alternative HTML version deleted]]
>
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