[R] Modified ARMA function

[krishna kumar]

Thanks Adrian,  that helped, this is nice too, now i can add a bunch of exogenous variables onto the arma equation.
thanks
Krishna

Adrian Trapletti wrote:

> > Date: Sun, 04 Aug 2002 23:40:04 -0700
> > From: krishna kumar <kriskumar at mailandnews.com>
> > Subject: [R] Modified ARMA function
> >
> >  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,]
>
> This is only to get preliminary estimates of the AR (and later also of the MA) coefficients. The final estimates are computed by conditional least squares (ie. minimizing function err defined in arma).
>
> >
> > 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
>
> There is a cleaner way: Use the function arima from ts and use xreg=mvsignal (if mvsignal is exogenous).
>
> > of specifying arbitrary parameters (additions) to GARCH and other
> > estimators?.
>
> > Please enlighten.
> >
> > thanks in advance,
> >
> > Krishna
> >
>
> best
> Adrian
>
> --
> Dr. Adrian Trapletti             Phone :             +41 (0) 1 994 5631
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