[R] Estimating parameters of a linear model

[Pfaff, Bernhard]

you can use the function arima() in the 'ts'-package and include y[t] as
'xreg'.

-----Original Message-----
From: Hagen Schmöller [mailto:Hagen.Schmoeller at iaew.rwth-aachen.de]
Sent: 06 September 2002 08:40
To: r-help at stat.math.ethz.ch
Subject: [R] Estimating parameters of a linear model


Hi R-Community,

I have two correlated time series X[t] and Y[t]. X[t] can be modeled as

X[t] = a[1]X[t-1] + a[2]X[t-2] + e[t] + b[1]e[t-1] + b[2]e[t-2] + c[0]Y[t]

where e[t] is a white noise process. Is there a way to estimate the
coefficients a[1], a[2], b[1], b[2] and c[0]?


Much thanks in advance,

Hagen Schmöller

--
Dipl.-Ing. Hagen K. Schmöller
Institut für Elektrische Anlagen und Energiewirtschaft, RWTH Aachen
Schinkelstraße 6, D-52056 Aachen, Germany
Tel.: +49 (0)241 80-96734
Fax : +49 (0)241 80-92197
Hagen.Schmoeller at iaew.rwth-aachen.de



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