[R] Regression Time Series

[Prof Brian Ripley]

On Fri, 6 Apr 2001, Paul E Johnson wrote:

> I don't know what the original questioner intended, but...
>
> In arima0 I find tools to fit AR, MA, and Integrated parts of a single
> time series.  I was curious what you do if you want to do a multivariate
> model. I see people talking about "intervention models" where some
> variable y's been put through an ARIMA filter and then the effect of
> independent variables x1,x2, etc, is assessed.  I think SAS calls these
> things ARIMAX.  (ONline sas docs for version 8.1 can be seen here
> http://lark.cc.ukans.edu/~sas81/sasdoc/sashtml/ets/chap7/sect1.htm)
>
> I've not done these kind of models lately in SAS or R, but I've wondered
> (as Carlos did) what R users do to estimate them.

Look even harder!  arima0 does fits ARIMAX models, using the xreg
parameter.

For an example, see ch13.R in the MASS/scripts collection.

ARIMAX models are not multivariate though: that's another subject
altogether.  For more complicated multiple models, bundle dse provides
a toolkit.

I know that the documentation is sparse, but this is an area due to be
replaced before too long.

>
>
> Prof Brian Ripley wrote:
> >
> > On Wed, 4 Apr 2001, Ortega, Carlos (Carlos) wrote:
> >
> > > Dear R-help,
> > >
> > > I have been checking the different functions in the "ts" as well as
> > > "tseries" libraries and I  could not find any reference to "regression time
> > > series" or applying a model to a set of time series.
> > >
> > > Please could you clarify if I missed any document or additional reference ?.
> >
> > Look harder at arima0.
> >
> > --
> > Brian D. Ripley,                  ripley at stats.ox.ac.uk
>
> Paul E. Johnson                       email: pauljohn at ukans.edu
> Dept. of Political Science            http://lark.cc.ukans.edu/~pauljohn
> University of Kansas                  Office: (785) 864-9086
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-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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