LINEAR | R Documentation |
AR(m) model
linear(x, m, d=1, steps=d, series, include = c( "const", "trend","none", "both"), type=c("level", "diff", "ADF"), warn_root=TRUE)
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? |
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]
A nlar
object, linear
subclass.
Antonio, Fabio Di Narzo
nlar
for fitting this and other models to time series data
#fit an AR(2) model mod.linear <- linear(log(lynx), m=2) mod.linear summary(mod.linear)
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