Transfer Function Model

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Description

Estimates a transform function model. This program does not allow rational transfer function model. It is a special case of tfm1 and tfm2.

Usage

1
tfm(y, x, b = 0, s = 1, p = 0, q = 0)

Arguments

y

Data vector of dependent (output) variable

x

Data vector of independent variable

b

deadtime or delay

s

The order of the transfer function polynomial

p

AR order of the disturbance

q

MA order of the disturbance

Details

The model entertained is y_t = c_0+ v(B)x_t + n_t. v(B) = 1- v1*B - ... - vs*B^s, and n_t is an ARMA(p,q) process.

Value

coef

Coefficient estimates of the transfer function

se.coef

Standard errors of the transfer function coefficients

coef.arma

Coefficient estimates of ARMA models

se.arma

Standard errors of ARMA coefficients

nt

The disturbance series

residuals

The residual series

Author(s)

Ruey S. Tsay

References

Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (1994). Time Series Analysis: Forecasting and Control, 3rd edition, Prentice Hall, Englewood Cliffs, NJ.

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