Dear all,
I am struggling to find an efficient way to extract and use a fitted ARIMA
series.
This means, I have an interest rate series for which I would like to derive
expected real interest rates using the ARIMA Model. Once I fitted the model
(arima(x, order = c(0, 1,1); I would like to deduct the fitted series from
nominal interest rate. Somehow, I could not find and efficient way that
allows me to directly work with the fitted series. Obviously; predict() will
only yield future values, whereas I am solely interested in the fitted
(historical) series.
Would very much appreciate, if someone could point me to a possible solution
or indicate a good example in papers/books as I could not find anything
directly related to my (seemingly) easy problem.
Thanks a lot & Cheers,
Philipp
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