[R] Estimate Intercept in ARIMA model

Prof Brian Ripley ripley at stats.ox.ac.uk
Thu Aug 23 11:46:25 CEST 2007

This is described on the help page!

include.mean: Should the ARIMA model include a mean term? The default
           is 'TRUE' for undifferenced series, 'FALSE' for differenced
           ones (where a mean would not affect the fit nor predictions).

      Further, if 'include.mean' is true, this formula applies to X-m
      rather than X.  For ARIMA models with differencing, the
      differenced series follows a zero-mean ARMA model.

You can add an intercept to your own xreg: you don't need a package to 
help you, but you do need to study the documentation.

On Thu, 23 Aug 2007, doublelin15 wrote:

> Hi, All,
>   This is my program
> ts1.sim <- arima.sim(list(order = c(1,1,0), ar = c(0.7)), n = 200)
> ts2.sim <- arima.sim(list(order = c(1,1,0), ar = c(0.5)), n = 200)
> tdata<-ts(c(ts1.sim[-1],ts2.sim[-1]))
> tre<-c(rep(0,200),rep(1,200))
> gender<-rbinom(400,1,.5)
> x<-matrix(0,2,400)
> x[1,]<-tre
> x[2,]<-gender
> fit <- arima(tdata, c(1, 1, 0), method = "CSS",xreg=t(x))


arima(tdata, c(1, 1, 0), method = "CSS", xreg=cbind(intercept=1, t(x)))

>   I try to fit a ARIMA model and aclude some other independent
> variable in this model, but why the outcome does not have the
> intercept estimate value? and if the model is arima(tdata, c(p, 0, q)
> there will have this value, why have this difference?
>   And if i want analysis Interrupted time series, what can i do?
> I find urca can help you to find the interrupted point, but if I
> already know this point, and want to compare the mean, level and
> slope, any package can help me to do this?
> Thanks for your attention!

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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