search for: undifferenced

Hi R-list, I'll apologize in advance for (1) the wordiness of my note (not sure how to avoid it) and (2) any deficiencies on my part that lead to my difficulties. I have an application with several stages that is meant to simulate and explore different scenarios with respect to product sales (in units sold per month). My session info is at the bottom of this note. The steps include (1) an

Hi, All, This is my program ts1.sim <- arima.sim(list(order = c(1,1,0), ar = c(0.7)), n = 200) ts2.sim <- arima.sim(list(order = c(1,1,0), ar = c(0.5)), n = 200) tdata<-ts(c(ts1.sim[-1],ts2.sim[-1])) tre<-c(rep(0,200),rep(1,200)) gender<-rbinom(400,1,.5) x<-matrix(0,2,400) x[1,]<-tre x[2,]<-gender fit <- arima(tdata, c(1, 1, 0), method = "CSS",xreg=t(x))

...es the standard recipe (as far as I know) is to take first differences of the individual series and apply the VAR program to the new bivariate difference series. The VAR program seems to derive a reasonable set of coefficients. My Question: How do I simulate future paths for the original pair of (undifferenced) series? Thanks for your time and help, KW ________________________________ The rest of this note is just how I have done this up until now... The method I have been using is to take a simulated path of the differences (note that in my case there are 2 simulated paths) say > x.d [1] 9 90...