search for: xtransf

...ke this: Model1 <-arimax(x,order=c(0,1,1), xreg=Intv) ** where Intv <-as.matrix(c(rep(0,60),rep(1,60))) (the dummy, intervention variable). I'd like to add a first-order transfer function in order to test for gradual, permanent effects. I understand this can be done by adding the "xtransf" and "transfer" arguments, however after playing around with this I've been unsuccessful in replicating the results found in McCleary & Hay(1980). I've looked, in depth, at the 'airline' example, however, despite the guidance provided by Chan on this (see below)...

Hi Team, I am running ARIMAX with TSA package. my code is fit2 <- arimax(yseries, order = c(1,0,1),xtransf = data.frame(X1var),transfer=list(c(1,0))) my question is 1st Q.--> If I need to take difference of X1var then what should i do?. What i am doing like submitting R code as X1vard <- diff(X1var) and then i am including in the xtransf. Same time if i need to take difference of yseries yseri...

...],modArima$arma[5],modArima$arma[2])) [,1] [,2] [,3] [1,] 1 1 1 > (bestSessionOrder <- cbind(modArima$arma[3],modArima$arma[6],modArima$arma[4])) [,1] [,2] [,3] [1,] 0 1 0 > modArimax <- arimax(depVar[1:nTrain,], order=bestOrder, xtransf=data.frame(indepVar[1:nTrain,])) After testing and validation, I think the model is robust enough go for real forecasting. Q1. Since my model is trained until Jul 2007, I shall 'update' the model to to include values up to Sep 2007, how can I 'update' it? Q2...

...th issues specific to my own work, I would like to refer to readers to the example given in the TSA documentation which would also then clarify my own issues: >library(TSA) > >data(airmiles) >air.ml=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') Ok,so I've run the above code and an object called air.m...

...ut changing the general structure of the syntax below), I defined the following design matrix: > xreg.1 <- model.matrix(~CO1+ CO2+ CO3+ CO4)[,2:5] c. Following Cryer and Chan (2008, ch. 11, p. 255), I wrote models such as this: > arimax.1 <- arimax(VI, order=c(0,1,1), + xtransf=data.frame(xreg.1,dummy1=DUM), + transfer=list(c(1,0),c(0,0),c(0,0),c(0,0),c(0,0))) d. So, I get estimates for the following coefficients: ma1; CO1-AR1; CO1-MA0; CO2-MA0; CO3-MA0; CO4-MA0; DUM-MA0 Can you spot any problems with the general modelling approach or in this specificatio...

...th issues specific to my own work, I would like to refer to readers to the example given in the TSA documentation which would also then clarify my own issues: >library(TSA) > >data(airmiles) >air.ml=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') Ok,so I've run the above code and an object called air.m...