[R] ARIMA xreg and factors

[Gabor Grothendieck]

Try this:


set.seed(1)
sim.ar <- arima.sim(list(ar = c(0.4, 0.4)), n = 1000)
z<- gl(5, 1, 1000)
zm <- model.matrix(~z)[,-1]
arima(sim.ar, order=c(2,0,0), xreg = zm)



On 1/15/07, sj <ssj1364 at gmail.com> wrote:
> I am using arima to develop a time series regression model, I am using arima
> b/c I have autocorrelated errors. Several of my independent variables are
> categorical and I have coded them as factors .  When I run ARIMA  I  don't
> get any warning or error message, but I do not seem to get estimates for all
> the levels of the factor. Can/how does ARIMA handle factors in xreg?
>
>
> here is some example code:
>
> sim.ar <- arima.sim(list(ar = c(0.4, 0.4)), n = 1000)
> z<- factor(rep((1:5),200))
>
> arima(sim.ar,order=c(2,0,0),xreg=z)
>
>
> I  only get a single estiamte for xreg. Am I thinking about this wrong (I
> expected 4).
>
> thank you,
>
>
> Spencer
>
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>
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