[R] "xreg" in ARIMA modelling.

From: 00alastair00 <alastair.rushworth_at_nhsbt.nhs.uk>
Date: Thu, 27 Nov 2008 03:59:18 -0800 (PST)

Does anyone know how the parameter estimates are calculated for xreg variables when called as part of an arima() command, or know of any literature that provides this info? In particular, I was wondering if there is a quick way to compare different combinations of "xreg" variables in the arima() fit in the same way that you would in multiple regression (using AIC & R^2 etc.).

Thanks very much!

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