[R] ARIMA0 with xreg,

[Brian Scholl]

Fair enough.  I won't bother to define things since I
think what you are saying is that if X is my Txr
matrix of time series data, make xreg=X[,2:r] for the
regression on X[,1], which means I misunderstood the
function specifications.  Sorry, and thanks.

  

--- Prof Brian Ripley <ripley at stats.ox.ac.uk> wrote:
> You need to define some terms.  But from `VAR' and
> `matrix of data' I
> guess that you have a multiple time series.  If so,
> it just isn't valid
> to use arima0, which is univariate.  You also did
> not say what `x' is,
> but the `x' in `xreg' means eXogenous.
> 
> On Wed, 19 Dec 2001, Brian Scholl wrote:
> 
> > Hi all,
> >
> > Using ar(), I fit a VAR to my time series that has
> a
> > reasonably 'nice' error spectrum and aic
> determines
> > p=7.   But the output for ar isn't quite as
> convenient
> > as arima0, namely in that it takes me an extra
> step to
> > get the s.e.'s of parameters and it doesn't
> produce an
> > estimate of the log-likelihood for comparison to
> other
> > models. So I thought I'd use arimia0, with xreg=x,
> my
> > matrix of data and order=(7,0,0).
> >
> > When I do this, the results are funny.  The
> residuals
> > look - well, just like the original series on a
> > readjusted scale.  The spectrum for the residuals
> > looks slightly different from the spectrum of x
> and
> > bears no resemblance to the nice spectrum I got
> before
> > (this one looks like a long memory process, while
> the
> > earlier was closer to white noise).  Certainly I
> don't
> > expect the spectra and residuals to look exactly
> alike
> > because of the different solution methods, but
> these
> > bear little resemblance to each other.
> >
> > I assume, of course that the error is on my part,
> > perhaps something I've overlooked, but I'm not
> able to
> > find it.
> >
> > Thanks,
> >
> > Brian
> >
> >
> >
> > __________________________________________________
> >
> >
> >
> >
> >
>
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> >
> 
> -- 
> Brian D. Ripley,                 
> ripley at stats.ox.ac.uk
> Professor of Applied Statistics, 
> http://www.stats.ox.ac.uk/~ripley/
> University of Oxford,             Tel:  +44 1865
> 272861 (self)
> 1 South Parks Road,                     +44 1865
> 272860 (secr)
> Oxford OX1 3TG, UK                Fax:  +44 1865
> 272595
> 
>
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