[R] Autoregressive Model with Independent Variable

[Janusz Kawczak]

It looks like just simple ARMA model; there is no visible I-part
in Jarrett's specification. Unless it's hidden in the '...' part :)

Janusz.

On Wed, 1 Mar 2006, Dirk Eddelbuettel wrote:
>
> 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(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?
>
> Yes: arima(), see in particular the xreg argument.
>
> Dirk
>
>
> --
> Hell, there are no rules here - we're trying to accomplish something.
>                                                   -- Thomas A. Edison