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xreg not carrying through in arfima #735
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A simpler solution might be to add an xreg argument to arfima with default NULL, then just pass that to both In any case, feel free to make a PR. |
I am facing the same problem right now. Has anyone published a solution in the meantime? |
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Motivation: I want to fit an arfima model with regressors.
In
arfima.R
you are allowed to enter additional parameters that are carried forward toauto.arima
. This is carried forward to line 156 whereauto.arima
is used and the...
is present.However, as the default setting is
"mle"
fit, when you enter anxreg
argument, the final fit doesn't display thexreg
and the finalarima
fit is not working on the residuals of thexreg
fit, see line 166 of the file.I think this just needs a check to see if
xreg
is specified in...
and if so, the residuals of thexreg
fit are carried forward and thexreg
parameter estimates fromauto.arima
are carried forward to the final fit object too.If you are happy with my (outline) suggested change I can make it in the code for you and commit.
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