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

[Achim Zeileis]

On Wed, 16 Aug 2006 15:26:13 -0400 Tom Boonen wrote:

> 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?

Look at arima() from stats (note that it's ar*i*ma) which takes an
`xreg' argument through which you can pass additional regressors.
There's a worked example on ?arima and also on ?UKDriverDeaths.

hth,
Z

> 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
> 
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