[R-SIG-Finance] how to fit arma(1,1)?

[Tom Boonen]

Dear List,

I am new to TS-Modeling in R. I would like to fit an ARMA(1,1) model
for a balanced panel, running Y on a full set of unit and year dummies
using an arma(1,1) for the disturbance:

y_it=unit.dummies+yeardummies+e_it

where: e_it=d*e_it-1+u_it+q*u_it-1

How can I fit this model in R? arma() does not seem to take covariates
(or I don't understand how to specify the function so that it would).
Thank you very much.

Best, Tom