I have a regression with ARMA errors, which I am fitting with
arima(). I know that the ARMA model is being fit on these residuals from the regression. My problem is that when I use
include.mean=TRUE the output does not return any estimate of the mean (of the residuals, which yes, I know is always zero). The documentation says that ARMA model will include a mean if this option is set to
I do see an intercept reported, which is the intercept from the regression of y on x, not the intercept from the ARMA model on the residuals.
How do I get the
include.mean argument to work? Is there any other way to get the intercept from the ARMA model on residuals? Is R just censoring this because residuals are always mean zero (if intercept is in regression)?
MWE is below, thanks in advance.
y = as.xts(ts(rnorm(20)+3, start=c(1980,1), freq=12))
x = as.xts(ts(rnorm(20)+5, start=c(1980,1), freq=12))
fit1 = arima(y, xreg=as.data.frame(x), order=c(1,0,0), include.mean=TRUE)
fit1 # intercept shown is from the regression, 3-(-.0935)*(5), not for the residual ARMA model