I estimate an arimax model $y_t=a*y_{t-1} + b*x_t + e_t$

Where $x_t$ is a dummy with ones from a specific date and on. $(0,0,0,...,0,1,1,1,1,1)$

I estimate it with Arima instruction forecast package in R. I would like to obtain fitted values of the ARIMAX model but considering what have had happended with no change in the dummy. $(0,0,0,...,0,0,0,0,0,0)$ Which R-code could I use to obtain these values (a sort of counterfactual behaviour)?




closed as off-topic by Michael Chernick, mkt, mdewey, forecaster, Sycorax Sep 10 at 18:07

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just COMPUTE yt=a∗yt−1 using excel. That will return fitted values/forecast values for periods 2 through t . Note the value of a is the estimate from your initial model where the predictor was (0,0,0,...,0,1,1,1,1,1)

  • $\begingroup$ Thank you, But indeed the question was related to how to manage forecast/predict instruction in R to obtain the prediction with a changed X. $\endgroup$ – César Nebot Monferrer Sep 8 at 17:02
  • $\begingroup$ Just write a script in R instead of excel to do the computation. $\endgroup$ – IrishStat Sep 9 at 14:13

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