[R] Refine ARMA model
Chuse chuse
chuse22 at gmail.com
Wed Mar 2 15:19:15 CET 2011
Dear users,
I tried to fit an AR(2) model to data. This the result:
> arima(vw,c(3,0,0))
Call:
arima(x = vw, order = c(3, 0, 0))
Coefficients:
ar1 ar2 ar3 intercept
0.1052 -0.0102 -0.1203 0.0099
s.e. 0.0337 0.0339 0.0338 0.0018
sigma^2 estimated as 0.002934: log likelihood = 1293.16, aic = -2576.33
Now, ar2 is not significantly different from zero.
I would like to refine the model considering ar1 and ar3 only so I fit a model
x[t]=c+m*x[t-1] + n*x[t-3].
Anyone could help me and tell me how to do it? Thank you very much.
Chuse
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