Check the package rugarch. It is capable of doing ARMA calculations with
external regressors

The woods are lovely, dark and deep
But I have promises to keep
And miles to go before I sleep
And miles to go before I sleep
-----


On Thu, May 2, 2013 at 3:45 PM, Preetam Pal <lordpreetam@gmail.com> wrote:

> 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.
>
>         [[alternative HTML version deleted]]
>
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> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

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