Journal of Statistical Software

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Title REGCMPNT { A Fortran Program for Regression Models with ARIMA Component Errors
Author Bell William R.
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 brie y 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 di erent RegComponent models.
Keywords RegComponent model, time series, unobserved components, time series software.
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