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

Richard A. Bilonick rab at nauticom.net
Mon Apr 21 19:09:14 CEST 2003

Dirk Eddelbuettel wrote:

>Why don't you try simulation?  
>Create some data under the 'null' you're trying to get to, say, y <-
>seq(1,n) + arima.error where arima.error could be as simple as an AR(1) or
>MA(1). Then estimate the model, using 90% or 95% of the data and evaluate
>the forecast to the retained 10% or 5%. Repeat the DGP creation, estimation,
>forecast evaluation steps N (say 500) times and you should have a good idea
>about the merits of predict.arima.
I will try this. I was hoping to find documentation in R or elsewhere 
but this may be my only hope at this point. I don't doubt that 
predict.Arima is correct (the results agree with SAS, for example), it's 
just that I need to be able to compute the forecasts in other software.


Rick B.

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