Dear list members,
I am a (very) recent convert to R and I am hoping you can help me with a
problem I'm having. I'm trying to fit a first-order transfer function to an
ARIMA intervention analysis using the "arimax" function. The data was
obtained from McCleary & Hay (1980) (via Rob Hyndman's Time Series Library:
http://robjhyndman.com/tsdldata/data/schizo.dat). It has 120 time points
with an intervention occurring on the 60th unit. So far I've been able to
run a simple zero-order intervention model , which I've done like 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) it's not immediately clear to
me how "xtransfer" (i.e. I911=1*(seq(airmiles)==69) and the "transfer" (i.e.
transfer=list(c(0,0),c(1,0)) arguments are generated, and what they consist
of. I've looked extensively for further information on this, but to no
avail. Is anyone able to offer any further advice/ directions on how to go
about this?
Best wishes
David
example provided by Chan (2008)(airline example):
air.m1=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')
# Additive outliers are incorporated as dummy variables in xreg.
# Transfer function components are incorporated by the xtransf and transfer
# arguments.
# Here, the transfer function consists of two parts omega0*P(t) and
# omega1/(1-omega2*B)P(t) where the inputs of the two transfer
# functions are identical and equals the dummy variable that is 1 at September
# 2001 (the 69th data point) and zero otherwise.
# xtransf is a matrix whose columns are the input variables.
# transfer is a list consisting of the pair of (MA order, AR order) of each
# transfer function, which in this examples is (0,0) and (1,0).
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