arima (see ?arima) supports explanatory variables in the xreg= argument. On 8/7/07, "Maja Schröter" <[EMAIL PROTECTED]> wrote: > Hello everybody, > > I've a question about "autoregressive Regressionmodels". > > Let Y[1],.....,Y[n], be a time series. > > Given the model: > > Y[t] = phi[1]*Y[t-1] + phi[2]*Y[t-1] + ... + phi[p]*Y[t-p] + x_t^T*beta + u_t, > > > where x_t=(x[1t],x[2t],....x[mt]) and beta=(beta[1],...,beta[m]) and u_t~(0,1) > > I want to estimate the coefficients phi and beta. > > Are in R any functions or packages for "autoregressive Regressionmodel" with > special summaries?. I'm not meaning the function "ar". > > > Example: I have the data > > working.time <- rnorm(100) # Y > vacation <- rnorm(100) #x1 > bank.holidays <- rnorm(100) #x2 > illnes <- rnorm(100) #x3 > education <- rnorm(100) #x3 > > > > Now I want to analyse: > > Y[t] = phi[1]*Y[t-1] + phi[2]*Y[t-1] + ... + phi[p]Y[t-p] + beta1*vacation_t > +beta2*bank.holidays + beta3*illnes + beta4*eductation + u_t- > > > > Has anyone an idea? > > I would be more than glad if so. > > Thank you VERY much in advance. > > Kindly regards from the Eastern Part of Berlin, > > Maja > > -- > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >
______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.