[R] Arima with an external regressor
Prof Brian Ripley
ripley at stats.ox.ac.uk
Mon Sep 1 16:19:05 CEST 2003
It's stated on the help page, and it is neither.
Maybe SAS does use `residuals' but `errors' as on the R page is the
What was the problem with doing ?arima? Unlike SAS, you have the source
code to read too.
On Mon, 1 Sep 2003, Eric ESPOSITO wrote:
> 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*X[t] + a + E[t]
> with E[t]=b*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*X[t] + a + E[t] + b*E[t-1] or Y[t] = a*X[t]
> + a + b*E[t-1]
> where a, a and b are the coefficients returned by the arima
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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