>
> hi all
>
> i would like to model an AR model of the following form:
>
> y(t) = a + p*y(t-5) + e(t)
>
Hello Allan,
why not simply lm(), such as below?
n <- length(y)
lm(y[-c(1:5)] ~ y[-c((n-4):n)])
or, alternatively you could restrict coefficients ar(1) to ar(4) to zero by
using:
arima(y, order=c(5, 0, 0), fixed=c(0, 0, 0, 0, NA, NA), method="CSS")
HTH,
Bernhard
> where :
>
> y(t) is the value of y at time t
> a is a constant
> p is the coefficient of the 5th lagged term
> {e} is a normal error series
>
> Any help will be appreciated
> Allan
>
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