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> wrote: > 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 to know what technique R employs to find the > estimates? > > > > Any help is appreciated. > > > > > Thanks, > Preetam > > > > -- > Preetam Pal > (+91)-9432212774 > M-Stat 2nd Year, Room No. N-114 > Statistics Division, C.V.Raman > Hall > Indian Statistical Institute, B.H.O.S. > Kolkata. > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org 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. > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org 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.
