[R] forecasting error?

[Gabor Grothendieck]

See last line on every message to r-help and note the reproducible part.
One problem may be that your auto.arima call has no xreg yet your prediction
has newxreg.

On Fri, Jan 23, 2009 at 8:48 AM, diego Diego <dhabbyc at gmail.com> wrote:
> Hello everybody!
> I have an ARIMA model for a time series. This model was obtained through an
> auto.arima function. The resulting model is a ARIMA(2,1,4)(2,0,1)[12] with
> drift (my time series has monthly data). Then  I perform a 12-step ahead
> forecast to the cited model... so far so good... but when I look the plot of
> my forecast I see that the result is really far from the behavior of my time
> series... in fact, there is a considerable gar between  the last value of
> the series and the first forecast. My guess is that I'm doing something
> wrong. Here is what I do:
>
>>mods<-auto.arima(x[[1]],start.p=0,start.q=0,start.P=0,start.Q=0,stepwise=TRUE,stationary=FALSE)
>>ARIMA(2,1,4)(2,0,1)[12] with drift         # the output
>
> Call: auto.arima(x = x[[k]], start.p = 0, start.q = 0, start.P = 0, start.Q
> = 0, stationary = FALSE,      stepwise = TRUE)
>
> Coefficients:
>         ar1      ar2      ma1     ma2      ma3     ma4    sar1
>      0.0639  -0.7820  -1.2103  1.2236  -0.9511  0.2357  1.0031
> s.e.  0.0686   0.0582   0.1098  0.1558   0.1568  0.1007  0.0716
>         sar2     sma1      drift
>      -0.0711  -0.8963  -780.9456
> s.e.   0.0747   0.0608   403.2112
>
> sigma^2 estimated as 10202381:  log likelihood = -1100.61
> AIC = 2206.69   AICc = 2209.23   BIC = 2236.98
>
>  >for<-forecast(mods,h=12,newxreg=(1+length(x[[1]])):(length(x[[1]]+12)))
> #forecast
>
> and as I said before, the results dont seem to be right. In fact, when I
> restrict the search of the model on the auto.arima function to stationary
> models only an I perform the forecast (without the newxreg-option) the
> results are very much acceptable.
>
> ANY HELP OR COMMENTARY I VERY WELCOMED!!!!!!  thanks in advance!
>
>
> Diego.
>
>        [[alternative HTML version deleted]]
>
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