[R] Anyone Familiar with Using arima function with exogenous variables?

Richard A. Bilonick rab at nauticom.net
Mon Apr 21 18:32:12 CEST 2003

Spencer Graves wrote:

> Have you tried reading predict.Arima?
> Do you have any references that compute a simple numerical example?  I 
> believe there is one in Box, Jenkins, Reinsel, but I don't have time 
> to research it.
> Hope this helps.
> spencer graves

There does not appear to be any relevant information in predict.Arima 
concerning xreg.

I tried using arima to estimate the sales data (Series M in Box and 
Jenkins) using the leading indicator. I think I estimated the same model 
correctly. The AR and MA coefficients roughly agreed but the intercept 
and coefficient for the leading indicator were very different. The 
intercept was 10 times too large (approximately) and the coefficient for 
the leading indicator was about 1/10 of that shown in B&J.

So far I haven't located any simple examples to try.


Rick B.

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