regs.mean.sm: Create the regressors of an AR-X model

In AutoSEARCH: General-to-Specific (GETS) Modelling

Description

Creates the regressors of an AR-X model, see sm.

Usage

regs.mean.sm(y, mc=NULL, ar=NULL, ewma=NULL, mx=NULL)

Arguments

y	numeric vector, time-series or zoo object. Note that missing values in the beginning or at the end of the series is allowed, as they are removed with the na.trim command from the zoo package
mc	logical, TRUE or FALSE (default). TRUE includes intercept in the specification, FALSE does not
ar	integer vector, say, c(2,4) or 1:4. The AR-lags to include in the specification
ewma	NULL or a list of arguments sent to the eqwma function
mx	numeric matrix, time-series or zoo object of conditioning covariates. Note that missing values in the beginning or at the end of the series is allowed, as they are removed with the na.trim command from the zoo package

Value

Matrix with regressors

Author(s)

Genaro Sucarrat (http://www.sucarrat.net/)

See Also

sm, regs.vol.sm

AutoSEARCH documentation built on May 1, 2019, 10:31 p.m.