[R-sig-Finance] arma model when exogenouse variables used in ARMA(p=5, q=(1-6, 19))

Joe Byers joe-byers at utulsa.edu
Thu Jul 6 18:14:18 CEST 2006


I am fitting a ARMA(p=5,q=(1-6,19)) with exnogenouse variables 
(xreg=exovars), and masking (fixed=fixedparms) the MA terms 7-18 to get 
the model to run.  My code is
    fixed=c(rep(NA,5),rep(NA,6),rep(0,12),NA,NA);#5 ar terms, 19 ma 
terms fixed 7-18 lag ma term, intercept


    fixed<-c(fixed,NA); #add the lin.trend term
    ts.results.2.ma<- 
armaFit(datats~arma(5,19),xreg=cbind(Lin.Trend=d$factor.Lin.Trend.),
      include.mean=TRUE,optim.control=list(maxit=500),fixed=fixed);
    summary.fARMA.HTML(ts.results.2.ma,title="AR(5) with Intercept and 
Linear Trend");

Is there an easier way to specify this model maybe like
armaFit(datats~arma(5,(1:6,19))

I tried this as
    ts.results.2.ma<- 
armaFit(datats~arma(5,(1:6,19)),xreg=cbind(Lin.Trend=d$factor.Lin.Trend.),
      include.mean=TRUE,optim.control=list(maxit=500));

And I get a syntax error.

Thank you
Joe W. Byers

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