Hi,
I have estimated a
RegArima model using the s+ function arima.mle, and selected a RegAR(3) model.
I try to figure out how I can reproduce the fitted
values (these
coincides with arima.filt(model)$pred, i.e., how the fitted value
of time t, say Y(t), is computed. The model is formulated
Y(t)=b0+b1*x1(t)+
…+bp*X(t)+a1*Z(t-1)+a2*Z(t-2)+a3*Z(t-3),
where the Z(t) is the
difference between the observed Y(t) and the “prediction from the
regression part” of time t. All the coefficients are estimated by
the arima.mle
function. However, I’m not sure how the Y(t) is computed.
I would appreciate if somebody could help.
Liv
Belsby
Portfolio Analyst
liv.belsby@aktivkapital.com
Aktiv Kapital
Innspurten 9, P.O. Box 6426 Etterstad,
0605 Oslo, Norway
Tel +47 22 91 59 52, Mob +47 95 96 11 29, Fax +47 22 91 57 05
www.aktivkapital.com