tfm2 function

Transfer Function Model with Two Input Variables

Estimation of a general transfer function model with two input variables. The model can handle one output and up-to 2 input variables. The time series noise can assume multiplicative seasonal ARMA models.

tfm2(y,x,x2=NULL,ct=NULL,wt=NULL,orderN=c(1,0,0),orderS=c(0,0,0),
sea=12,order1=c(0,1,0),order2=c(0,-1,0))

Arguments

• y: Data vector of dependent variable
• x: Data vector of the first input (or independent) variable
• x2: Data vector of the second input variable if any
• ct: Data vector of a given deterministic variable such as time trend, if any
• wt: Data vector of co-integrated series between input and output variables if any
• orderN: Order (p,d,q) of the regular ARMA part of the disturbance component
• orderS: Order (P,D,Q) of the seasonal ARMA part of the disturbance component
• sea: Seasonality, default is 12 for monthly data
• order1: Order (r,s,b) of the transfer function model of the first input variable, where r and s are the degrees of denominator and numerator polynomials and b is the delay
• order2: Order (r2,s2,b2) of the transfer function model of the second input variable, where 2r and s2 are the degrees of denominator and numerator polynomials and b2 is the delay

Details

Perform estimation of a general transfer function model with two input variables

Returns

• estimate: Coefficient estimates

• sigma2: Residual variance sigma-square

• residuals: Residual series

• varcoef: Variance of the estimates

• Nt: The disturbance series

• rAR: Regular AR coefficients

• rMA: Regular MA coefficients

• sAR: Seasonal AR coefficients

• sMA: Seasonal MA coefficients

• omega: Numerator coefficients of the first transfer function

• delta: Denominator coefficients of the first transfer function

• omega2: Numerator coefficients of the 2nd transfer function

• delta2: Denominator coefficients of the 2nd transfer function

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.

Author(s)

Ruey S. Tsay

See Also

tfm, tfm1