[R] Specifying Transfer Function in Time series Intervention model
subhadip.nath at hcl.com
Mon Jul 2 15:46:05 CEST 2012
I am running ARIMAX with TSA package. my code is
fit2 <- arimax(yseries, order = c(1,0,1),xtransf =
my question is
1st Q.--> If I need to take difference of X1var then what should i do?. What
i am doing like submitting R code as
X1vard <- diff(X1var)
and then i am including in the xtransf. Same time if i need to take
difference of yseries
here ARIMAX order = c(1,0,1) i have to keep. ARIMAX order = c(1,1,1) is
giving error. Hope this is correct procedure.
2nd Q -->>In the transfer = list(c(1,0), 1 is Autoregressive operator
function and 0 is Moving average operator. I am not able to change the value
of MA operator. I am receiving an error message
"Error in optim(init[mask], armaCSS, method = "BFGS", hessian = FALSE, :
initial value in 'vmmin' is not finite"
I am using R 2.15.1 version.
3rd Q --> If i need to take Lag values of X1var. how to incorporate in the
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