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I have been spending days now trying to solve the following issue. I am trying to fit a REG-SARIMAX model with arima order p,d,q,P,D,Q set to 0. While the code works with external regressors it does not when a transfer function model is required. Here is the example:

x1 <- arima.sim(list(order = c(1,1,0), ar = 0.7), n = 200) A3 <- arima.sim(list(order = c(1,1,0), ar = 0.7), n = 200) A4 <- arima.sim(list(order = c(1,1,0), ar = 0.7), n = 200)

air.m1 = arimax (x,order=c(0,0,0),seasonal=list(order=c(0,0,0), period=1, fixed=c(NA,0)), include.mean = T, xtransf= data.frame( x1 ) , transfer=list(c(2,-1) ), xreg = data.frame( A3,A4 ), method='ML')

However, if an SARIMA order is set to a value different from 0, the code works.

Any advice is greately appreciated. Livio

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closed as off-topic by jbowman, Michael Chernick, Peter Flom May 26 '18 at 13:14

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