[R] ARMA with other regressor variables

[Jose Iparraguirre]

Dear Preetam,

I suggest that you read the TSA package documentation (and, if possible, the book by Cryer and Chan (Time Series Analysis with Applications in R) -it contains the function arimax which fits ARIMA models with exogenous variables. 
One thing: once you run your model, you will get the estimates including the t-stats, but won't be able to extract the latter as an object. However, the caschrono package can do this for you.
Regards,


Prof. José Iparraguirre
Chief Economist
Age UK



-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Preetam Pal
Sent: 02 May 2013 11:15
To: r-help at r-project.org
Subject: [R] ARMA with other regressor variables

Hi,

I want to fit the following model to my data:


Y_t= a+bY_(t-1)+cY_(t-2) + Z_t +Z_(t-1) + Z_(t-2) + X_t + M_t

i.e. it is an ARMA(2,2) with some additional regressors X and M.

[Z_t's are the white noise variables]

How do I find the estimates of the coefficients  in R?
And also I would like to know  what technique  R employs to find the
estimates?



Any help is appreciated.




Thanks,
Preetam



-- 
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year,                                             Room No. N-114
Statistics Division,                                           C.V.Raman
Hall
Indian Statistical Institute,                                 B.H.O.S.
Kolkata.

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