Dear All,
In estimating parameters of AR
(Autoregressive) or MA (Moving Average) models, Finmetric provides the following command:
arima.mle(x,
model=list(ar=?, ma=?))
where, ?= some initial value.
For MA(1)
model, one needs to give one initial value. For MA(2),
one needs to add 2 initial values etc.
However, if one wants to choose an
AR/MA model with some specified lags (e.g., lag 1, 3, 5 etc) and not continuous
lags (e.g., 1,2,3,4,5 etc.), what are the commands for
such models?
Can anyone help me on
this?
John
Statistician