[R] Arima with an external regressor
Eric ESPOSITO
eric.esposito at gazdefrance.com
Mon Sep 1 17:03:55 CEST 2003
Hello,
Does anybody know if the function arima with an external regressor (xreg)
applies the auto correlation on the dependant variable or on the residuals.
In comparison with SAS (proc autoreg), it seems that the auto correlation
applies on the residuals but i'd like to have the confirmation.
I want to estimate:
Y[t] = a[1]*X[t] + a[2] + E[t]
with E[t]=b[1]*E[t-1]
Should I use :
arima(Y, xreg=X, order=c(1,0,0)) or rather arima(Y,
xreg=X, order=c(0,0,1))
And what is the exact equation of the estimating model:
Y[t] = a[1]*X[t] + a[2] + E[t] + b[1]*E[t-1] or Y[t] = a[1]*X[t]
+ a[2] + b[1]*E[t-1]
where a[1], a[2] and b[1] are the coefficients returned by the arima
function
Thank you,
Eric Esposito
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