[R] Modified ARMA function
krishna kumar
kriskumar at mailandnews.com
Mon Aug 5 08:40:04 CEST 2002
R-guRus ,
ARMA function in tseries, seems to be calculating the AR coeff 's as
coef <- lm(xx[,1]~xx[,lag$ar+1])$coef [*snipped* from around line
77,]
I'd like to modify this model with another term somewhat in these lines
lm(xx[,1] ~xx[,lag$ar+1]+mvgsignal)$coef
where mvgsignal is a moving average signal based on some indicators, the
question
is could i simply hack into tseries and do this and hope all is well ,
is there a cleaner
way of specifying arbitrary parameters (additions) to GARCH and other
estimators?.
Please enlighten.
thanks in advance,
Krishna
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