[R-sig-finance] Exogenous Variable in armafit
Dirk Eddelbuettel
edd at debian.org
Tue May 16 03:16:31 CEST 2006
On 14 May 2006 at 23:16, Joe Byers wrote:
| I am trying to estimate a simple AR process but need to include trend
| components. The documentation says exogenous variables can be included
| using the ... argument in the formula description section. I am new to
| R and do not understand what this means. Can anyone help? A snippet of
| code would be great.
I've use arima() with its xreg argument in the past. Consider this snippet
from the documentation of the arima() function:
arima(LakeHuron, order = c(2, 0, 0), xreg = time(LakeHuron) - 1920)
It estimates a regression model with a time trend modeled as the offset
relative to 1920, and an AR(2) error component.
Hope this helps.
Dirk
--
Hell, there are no rules here - we're trying to accomplish something.
-- Thomas A. Edison
More information about the R-sig-finance
mailing list