[R] How to specify an ARMA(1, [1,4]) model?
murdoch at stats.uwo.ca
Tue Oct 13 20:47:50 CEST 2009
On 10/13/2009 2:35 PM, Len Vir wrote:
> I'm trying to model an ARMA(1,[1,4]),
> i.e. I want only lags 1 and 4 of the Moving Average part.
> It's the '[1,4]' part that is giving me a problem.
> I've tried different arma's and arima's in different packages, namely:
> packages tseries, fArma, FinTS, timeSeries, TSA, Zelig, ds1, forecast
> For example, with package FinTS:
>> ( ARIMA(y, order=c(1,0,c(1,4))) )
> Error in arima(x = x, order = order, seasonal = seasonal, xreg = xreg, :
> 'order' must be a non-negative numeric vector of length 3
> Using ARIMA(1,0,1) with a seasonal argument for lag 4
> does not get me any further.
What's wrong with
arima(x, order=c(1,0,1), seasonal=list(order=c(0,0,1), period=4))
> With package Zelig I got:
>> ( zelig(Diff(lppi,1) ~ one + lag.y(1) + lag.eps(1) + lag.eps(4) ,
> model="arima" , data=Q) )
> Error in model.frame.default(mf$formula, data) :
> invalid type (list) for variable 'lag.eps(1)'
> I get basically the same kind of answers with other packages
> and with different configurations.
> Thanks for any advice,
> [[alternative HTML version deleted]]
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