tsDyn (version 11.0.4.1)

LINEAR: 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"), warn_root=TRUE)

Value

A nlar object, linear subclass.

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

warn_root

Whether to check (and warn) for roots outside the unit circle?

Author

Antonio, Fabio Di Narzo

Details

AR(m) model: $$ x_{t+s} = \phi_0 + \phi_1 x_t + \phi_2 x_{t-d} + \dots + \phi_m x_{t - (m-1)d} + \epsilon_{t+s}$$

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)