[R] Extracting a formula from Arima for structural break analysis

Downey, Patrick PDowney at urban.org
Thu Dec 30 16:40:06 CET 2010


I fit an ARMA model to a series using the arima function. Now I wish to use
the "breakpoints" function from the {strucchange} package to test for
structural breaks. The breakpoints function requires a formula as input.
The examples show how to write an AR model as a formula, but I have MA
terms as well, making it somewhat more complicated.

I would like to know one of the following two things:
1) Is it possible to extract a formula from an object of class Arima
(produced by the arima function), and if so how?
2) How would one write a symbolic fomula to represent an ARMA model?

If I'm approaching this totally wrong, please make suggestions.


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