[R] predict.Arima: warnings from xreg magic
Johann Hibschman
jhibschman at gmail.com
Wed Mar 31 17:32:34 CEST 2010
When I run predict.Arima in my code, I get warnings like:
Warning message:
In cbind(intercept = rep(1, n), xreg) :
number of rows of result is not a multiple of vector length (arg 1)
I think this is because I'm not running predict.Arima in the same
environment that I did the fit, so the data object used in the fit is no
longer present. Looking at the predict.Arima source,
predict.Arima <-
function (object, n.ahead = 1, newxreg = NULL, se.fit = TRUE, ...)
{
myNCOL <- function(x) if (is.null(x)) 0 else NCOL(x)
rsd <- object$residuals
xr <- object$call$xreg
xreg <- if (!is.null(xr)) eval.parent(xr) else NULL
ncxreg <- myNCOL(xreg)
if (myNCOL(newxreg) != ncxreg)
stop("'xreg' and 'newxreg' have different numbers of columns")
class(xreg) <- NULL
xtsp <- tsp(rsd)
n <- length(rsd)
arma <- object$arma
coefs <- object$coef
narma <- sum(arma[1L:4L])
if (length(coefs) > narma) {
if (names(coefs)[narma + 1L] == "intercept") {
xreg <- cbind(intercept = rep(1, n), xreg)
newxreg <- cbind(intercept = rep(1, n.ahead), newxreg)
ncxreg <- ncxreg + 1L
}
...
It looks to me as if it assumes that object$call$xreg is available in
the current (well, parent) environment.
To add insult to injury, it doesn't look like xreg is used anywhere in
the code; it's calculated, then ignored.
So, here are my questions:
1. Is this a correct diagnosis?
2. What can I do about it?
a. Is there a version of arima with "less magic"?
b. Should I try to populate my environment to look like the calling
environment?
c. Other?
Thanks,
Johann
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