Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
REGCMPNT – A Fortran Program for Regression Models with ARIMA Component Errors | Bell | Journal of Statistical Software
Authors: William R. Bell
Title: REGCMPNT A Fortran Program for Regression Models with ARIMA Component Errors
Abstract: RegComponent models are time series models with linear regression mean functions and error terms that follow ARIMA (autoregressive-integrated-moving average) component time series models. Bell (2004) discusses these models and gives some underlying theoretical and computational results. The REGCMPNT program is a Fortran program for performing Gaussian maximum likelihood estimation, signal extraction, and forecasting with RegComponent models. In this paper we briefly examine the nature of RegComponent models, provide an overview of the REGCMPNT program, and then use three examples to show some important features of the program and to illustrate its application to various different RegComponent models.

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Paper: REGCMPNT A Fortran Program for Regression Models with ARIMA Component Errors     Download PDF (Downloads: 5236)
Supplements:
rgc.exe: REGCMPNT Windows binary Download (Downloads: 1215; 1MB)
v41i07-replication.zip: Replication code and data Download (Downloads: 1093; 48KB)

DOI: 10.18637/jss.v041.i07

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Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.