[R] Autoregressive Model with Independent Variable
Dirk Eddelbuettel
edd at debian.org
Thu Mar 2 05:35:56 CET 2006
On 1 March 2006 at 20:06, Jarrett Byrnes wrote:
 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(t1)+b2*y(t2)...+a*x(t)

 I'm even considering a model of

 y(t)=b0+b1*y(t1)+b2*y(t2)...+a1*x(t)+a2*x(t1)...

 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?
Yes: arima(), see in particular the xreg argument.
Dirk

Hell, there are no rules here  we're trying to accomplish something.
 Thomas A. Edison
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