[R] Regression Time Series

[Paul E Johnson]

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
http://lark.cc.ukans.edu/~sas81/sasdoc/sashtml/ets/chap7/sect1.htm)

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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