The help file states: The exact likelihood is computed via a state-space
representation of the ARIMA process, and the innovations and their variance
found by a Kalman filter. It is possible to include exogenous variables
(xreg) this way, but one can only assume this is done [only one person knows
for sure... the person who wrote the final version of arima(), and I hope he
chimes in to this]. If this is the case, then there is a likelihood
evaluation and AIC [or similar criteria, e.g., BIC and so on] would apply.
00alastair00 wrote:
Hello,
Does anyone know how the parameter estimates are calculated for xreg
variables when called as part of an arima() command, or know of any
literature that provides this info? In particular, I was wondering if
there is a quick way to compare different combinations of xreg variables
in the arima() fit in the same way that you would in multiple regression
(using AIC R^2 etc.).
Thanks very much!
-
The power of accurate observation is commonly called cynicism
by those who have not got it. George Bernard Shaw
--
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