[R] Regression Time Series
Paul E Johnson
pauljohn at ukans.edu
Fri Apr 6 15:27:59 CEST 2001
I don't know what the original questioner intended, but...
In arima0 I find tools to fit AR, MA, and Integrated parts of a single
time series. I was curious what you do if you want to do a multivariate
model. I see people talking about "intervention models" where some
variable y's been put through an ARIMA filter and then the effect of
independent variables x1,x2, etc, is assessed. I think SAS calls these
things ARIMAX. (ONline sas docs for version 8.1 can be seen here
I've not done these kind of models lately in SAS or R, but I've wondered
(as Carlos did) what R users do to estimate them.
Prof Brian Ripley wrote:
> On Wed, 4 Apr 2001, Ortega, Carlos (Carlos) wrote:
> > Dear R-help,
> > I have been checking the different functions in the "ts" as well as
> > "tseries" libraries and I could not find any reference to "regression time
> > series" or applying a model to a set of time series.
> > Please could you clarify if I missed any document or additional reference ?.
> Look harder at arima0.
> Brian D. Ripley, ripley at stats.ox.ac.uk
Paul E. Johnson email: pauljohn at ukans.edu
Dept. of Political Science http://lark.cc.ukans.edu/~pauljohn
University of Kansas Office: (785) 864-9086
Lawrence, Kansas 66045 FAX: (785) 864-5700
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