[R] Regression Time Series

Paul Gilbert pgilbert at bank-banque-canada.ca
Fri Apr 6 18:32:03 CEST 2001

> 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.

The terminology varies considerably and the number of letters gets quite confusing.
X usually means exogenous, which I do not think of as necessarily multivariate, but
some people do. A long time ago I reverted to using ARMA for just about everything
that includes the letters AR and MA. My dse package handles multiple endogenous
variables (y's) and multiple input or conditioning variables (which are often called
exogenous variables, but sometimes are not truly exogenous). Integrating models are
handled but you might need to consider what estimation technique to use. I have not
implemented any integration tests (volunteers?). DSE also handles state space models.
It does not implement time varying models or non-linear models, although it would
provide a valuable framework for anyone who would like to do that.

There should shortly be a new version of dse (dse_2001.4-1.tar.gz) on CRAN and it is
already available on my web site at <http://www.bank-banque-canada.ca/pgilbert>. The
User's Guide is also available at my web site. Relative to the version that has been
on CRAN the past few months this version fixes:

- format problems that left out many parts of the documentation
- maximum likelihood estimation (using optim but not extensively tested)
- and (I hope) problems that prevented it from working in Windows.

If anyone would like to compile and test the last item I would appreciate feedback.

Paul Gilbert

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