[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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