Re: [R] ARMA(1,1) for panel data

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Fri 18 Aug 2006 - 19:42:10 EST

      For "normal" panel data, the standard R tool is the nlme package, documented in Pinheiro and Bates (2000) Mixed-Effects Models for S and S-Plus (Springer). See the examples in ?corARMA.

      I recommend you spend some quality time with Pinheiro and Bates (2000). If you do that, I suggest you start by looking at "ch01.R", "ch02.R", ..., "ch06.R", "ch08.R" in "~library\nlme\scripts" in your R installation directory. These files contain the R commands used in Ch. 1, Ch. 2, etc., of that book. Using them makes studying that book easier, more pleasant and productive for several reasons. First, they save you the work of typing in the commands yourself. Second, they save you the agony of wondering why you didn't get their answer when you have a typographical error. Third, there are a very few subtle syntax changes between the book and R that generate different answers for the unwary. Fourth, you can experiment with different alternatives to test your understanding, etc.

      If your data required non-normal models, I would recommend 'lmer' associated with the 'lme4' package. However, that's newer and does not have the same level of documentation, helper functions, etc.

      Hope this helps. 
      Spencer Graves

Tom Boonen wrote:
> Dear List,
>
> I am new to TS-Modeling in R. I would like to fit an ARMA(1,1) model
> for a balanced panel, running Y on a full set of unit and year dummies
> using an arma(1,1) for the disturbance:
>
> y_it=unit.dummies+yeardummies+e_it
>
> where: e_it=d*e_it-1+u_it+q*u_it-1
>
> How can I fit this model in R? arma() does not seem to take covariates
> (or I don't understand how to specify the function so that it would).
> Thank you very much.
>
> Best, Tom
>
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R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Fri Aug 18 19:46:42 2006

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