Hello everyone,
A question on time series:
Say we have several time series (Y, X1 and X2) and one of these time
series, Y, is a 'response' to X1 and X2. According to SAS's
terminology, ARIMA models with input series (also called 'ARIMAX'
models or 'dynamic regression' etc )involve using regression of Y on X1
and X2 and fitting ARMA models to the errors. The 'regression' part of
the model is the Transfer Function. Does anyone have any good, clear
references which give examples showing how to use cross-correlation
functions to identify the form of the transfer function?
Many thanks,
Kim
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