[R] Autoregressive Model with Independent Variable
Jarrett Byrnes
jebyrnes at ucdavis.edu
Thu Mar 2 05:06:10 CET 2006
Hey, all, I may just be missing something, but I'm trying to construct
a temporal autoregression with an independant variable other than just
what is happened at a previous point in time. So, the model structure
would be something like
y(t)=b0+b1*y(t-1)+b2*y(t-2)...+a*x(t)
I'm even considering a model of
y(t)=b0+b1*y(t-1)+b2*y(t-2)...+a1*x(t)+a2*x(t-1)...
So, my data looks like
Time y x
1 4 6
2 5 10
3 10 1
etc.
When looking at ar() and similar methods, however, it seemed that the
input was a single vector - say, in this case, the value y. Is there a
method that allows me to specify an explicit model that would then
incorporate x?
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