This is described on the help page! include.mean: Should the ARIMA model include a mean term? The default is 'TRUE' for undifferenced series, 'FALSE' for differenced ones (where a mean would not affect the fit nor predictions).
Further, if 'include.mean' is true, this formula applies to X-m rather than X. For ARIMA models with differencing, the differenced series follows a zero-mean ARMA model. You can add an intercept to your own xreg: you don't need a package to help you, but you do need to study the documentation. On Thu, 23 Aug 2007, doublelin15 wrote: > Hi, All, > This is my program > > ts1.sim <- arima.sim(list(order = c(1,1,0), ar = c(0.7)), n = 200) > ts2.sim <- arima.sim(list(order = c(1,1,0), ar = c(0.5)), n = 200) > tdata<-ts(c(ts1.sim[-1],ts2.sim[-1])) > tre<-c(rep(0,200),rep(1,200)) > gender<-rbinom(400,1,.5) > x<-matrix(0,2,400) > x[1,]<-tre > x[2,]<-gender > fit <- arima(tdata, c(1, 1, 0), method = "CSS",xreg=t(x)) Use arima(tdata, c(1, 1, 0), method = "CSS", xreg=cbind(intercept=1, t(x))) > I try to fit a ARIMA model and aclude some other independent > variable in this model, but why the outcome does not have the > intercept estimate value? and if the model is arima(tdata, c(p, 0, q) > there will have this value, why have this difference? > > And if i want analysis Interrupted time series, what can i do? > I find urca can help you to find the interrupted point, but if I > already know this point, and want to compare the mean, level and > slope, any package can help me to do this? > > > Thanks for your attention! > > > -- 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 ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.