Dear Users,
Consider a multivariate time series model:
a_1*y(t)-...-a_k*y(t-k)=b+[c_1*z(t)-...-c_j*z(t-j)]
i.e., a simple multivariate time series model with one exogenous variable.
I would like to know what package can I use to do the following, using R:
1) Select k and j jointly;
2) Estimate the model;
2) Forecast h=4 steps ahead the estimated model;
4) Bootstrap the forecast, since my sample is small.
For univariate time series, I already used the BootBC package, but
I don't know how to perform the analysis in the case here.
Thanks in advance,
Rick
[[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.
