LINEAR {tsDyn}R Documentation

Linear AutoRegressive models

Description

AR(m) model

Usage

        linear(x, m, d=1, steps=d, series, include = c( "const", "trend","none", "both"), type=c("level", "diff", "ADF"))

Arguments

x time series
m, d, steps embedding dimension, time delay, forecasting steps
series time series name (optional)
include Type of deterministic regressors to include
type Whether the variable is taken is level, difference or a mix (diff y= y-1, diff lags) as in the ADF test

Details

AR(m) model:

x[t+steps] = phi[0] + phi[1] x[t] + phi[2] x[t-d] + ... + phi[m] x[t - (m-1)d] + eps[t+steps]

Value

A nlar object, linear subclass.

Author(s)

Antonio, Fabio Di Narzo

See Also

nlar for fitting this and other models to time series data

Examples

#fit an AR(2) model
mod.linear <- linear(log(lynx), m=2)
mod.linear
summary(mod.linear)

[Package tsDyn version 0.7-1 Index]