Hi,
I want to fit the following model to my data:
Y_t= a+bY_(t-1)+cY_(t-2) + Z_t +Z_(t-1) + Z_(t-2) + X_t + M_t
i.e. it is an ARMA(2,2) with some additional regressors X and M.
[Z_t's are the white noise variables]
How do I find the estimates of the coefficients in R?
And also I would like
-project.org] On
Behalf Of Preetam Pal
Sent: 02 May 2013 11:15
To: r-help@r-project.org
Subject: [R] ARMA with other regressor variables
Hi,
I want to fit the following model to my data:
Y_t= a+bY_(t-1)+cY_(t-2) + Z_t +Z_(t-1) + Z_(t-2) + X_t + M_t
i.e. it is an ARMA(2,2) with some additional regressors
Check the package rugarch. It is capable of doing ARMA calculations with
external regressors
The woods are lovely, dark and deep
But I have promises to keep
And miles to go before I sleep
And miles to go before I sleep
-
On Thu, May 2, 2013 at 3:45 PM, Preetam Pal lordpree...@gmail.com
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