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- Thu Apr 15, 2010 8:10 am
- Forum: Estimation
- Topic: ARMA model estimation
- Replies: 0
- Views: 1622
ARMA model estimation
Hello everybody, I would like to ask you a question about ARMA estimation : I have to estimate an ARMA model for electricity prices, of the form φ(B) (P - X) = θ(B) ε where P is the dependent variable (first difference log price) and X is a set of explanatory variables, defined as: X = c(0) + c(1)*d...