Re: [R] ARMA with other regressor variables

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 wrote: > Hi, > > I want t

Re: [R] ARMA with other regressor variables

...@r-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 regre

[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 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 t