It's stated on the help page, and it is neither. Maybe SAS does use `residuals' but `errors' as on the R page is the correct term.
What was the problem with doing ?arima? Unlike SAS, you have the source code to read too. On Mon, 1 Sep 2003, Eric ESPOSITO wrote: > Does anybody know if the function arima with an external regressor (xreg) > applies the auto correlation on the dependant variable or on the residuals. > In comparison with SAS (proc autoreg), it seems that the auto correlation > applies on the residuals but i'd like to have the confirmation. > > I want to estimate: > Y[t] = a[1]*X[t] + a[2] + E[t] > with E[t]=b[1]*E[t-1] > > Should I use : > arima(Y, xreg=X, order=c(1,0,0)) or rather arima(Y, > xreg=X, order=c(0,0,1)) > And what is the exact equation of the estimating model: > Y[t] = a[1]*X[t] + a[2] + E[t] + b[1]*E[t-1] or Y[t] = a[1]*X[t] > + a[2] + b[1]*E[t-1] > where a[1], a[2] and b[1] are the coefficients returned by the arima > function -- Brian D. Ripley, [EMAIL PROTECTED] Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help
