[R] How to use FitAR with independent variables (like xreg for arima)?

[Steffen Wagner]

Hello,

I would like to fit a linear model with autoregressive terms and independent variables.
Since the largest AR-Term I am interested in is lag.max=336, the arima-function (package stats) does not work (maximum for arima: lag.max=100).
The FitAR function (package FitAR) does allow model fitting with a subset of AR-terms, so this works for modeling without independent variables.

Does anyone know an elegant way to combine the nice features of FitAR (the subset AR option) with the xreg-option (independent variables) of arima?
Is there another package which already does what I want?


Thanks a lot for the help
Steffen
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