Also, the package caschrono is very good for Arima-X. If you read French, the author, Yves Aragon, wrote an excellent book describing its use: "Series temporelles avec R" (Springer).
Prof. José Iparraguirre Chief Economist Age UK Age UK Tavis House, 1- 6 Tavistock Square London, WC1H 9NB T 020 303 31482 E jose.iparragui...@ageuk.org.uk Twitter @jose.iparraguirre@ageuk -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Erin Hodgess Sent: 06 October 2014 23:58 To: peter dalgaard Cc: R help Subject: Re: [R] a question about arimax, please This is great...thanks so much! On Mon, Oct 6, 2014 at 5:56 PM, peter dalgaard <pda...@gmail.com> wrote: > In package TSA? > > You may need to do some studying for yourself, this is complicated stuff. > > As I read the help page, the intention is that the transfer= bit is to > allow a _covariate_ to affect the process in an ARMA-like fashion. So > c(1,0) would be AR(1)-like which if I remember correctly corresponds > to an exponentially decaying effect of instantaneous shocks to the > system. And > c(0,0) would be MA(0)-like, which I suppose would be an effect that > only affected the same period as the instantaneous shock. In the > example, we have the same covariate (Sept. 2001) contributing with > both kinds of effect, so xtransf= has the same variable twice. > > -pd > > On 06 Oct 2014, at 19:11 , Erin Hodgess <erinm.hodg...@gmail.com> wrote: > > > Hello! > > I have about the arimax function, please: > > If you see the example page, you see the following: > > # Exhibit 11.6 > > 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' > > ) Now the part that I am puzzled about the "transfer" argument, > > please. It > is > > supposed to be the MA order and the AR order, respectively. However, > > the > AR > > order is 0. Should that be reversed, please? > > Thanks, > > Erin. > > > > -- > > Erin Hodgess > > Associate Professor > > Department of Mathematical and Statistics University of Houston - > > Downtown > > mailto: erinm.hodg...@gmail.com > > > > [[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. > > -- > Peter Dalgaard, Professor, > Center for Statistics, Copenhagen Business School Solbjerg Plads 3, > 2000 Frederiksberg, Denmark > Phone: (+45)38153501 > Email: pd....@cbs.dk Priv: pda...@gmail.com > > > > > > > > > -- Erin Hodgess Associate Professor Department of Mathematical and Statistics University of Houston - Downtown mailto: erinm.hodg...@gmail.com [[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. 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