[R] ARIMA - Skipping intermediate lags
bogaso.christofer at gmail.com
Thu Sep 22 18:38:30 CEST 2011
Dear Prof. Repley, may I know in details why ignoring intermediate lags are
sin? How the statistical properties will be worse than not ignoring them? If
I am correct then, ignoring some parameters means we know the population
values for them. Therefore in this case, my MSE estimate should be smaller
(or, my prediction will be more accurate) isn't it?
Thanks and regards,
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Prof Brian Ripley
Sent: 21 September 2011 13:32
Cc: r-help at r-project.org
Subject: Re: [R] ARIMA - Skipping intermediate lags
On Tue, 20 Sep 2011, leighton155 wrote:
> I am a new R user. I am trying to use the arima command, but I have a
> question on intermediate lags. I want to run in R the equivalent
> Stata command of ARIMA d.yyy, AR(5) MA(5 7). This would tell the
> program I am interested in AR lag 5, MA lag 5, and MA lag 7, all while
> skipping the intermediate lags of AR 1-4, and MA 1-4, 6. Is there any
> way to do this in R? Thank you.
Yes. See the 'fixed' argument on the help page. Note that this is not
recommended in general ....
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Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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