Hi all,

I am trying to fit an AR(p) model to my variable res

ar=ar(res, method="yule-walker")

The output is :

Order selected 0  sigma^2 estimated as  5.87e-06

Does this mean that the optimum value of p is 0?

But when I go for  summary(ar),

I get the following:

order       1     -none- numeric
ar           0     -none- numeric
var.pred    1     -none- numeric
x.mean      1     -none- numeric
aic        13     -none- numeric
n.used      1     -none- numeric
order.max   1     -none- numeric
partialacf 12     -none- numeric
resid      17     -none- numeric
method      1     -none- character
series      1     -none- character
frequency   1     -none- numeric
call        2     -none- call


The confusion is : in the 1st line, order=1 is being shown, and ar is being
shown as 0 in the 2nd line.
This means that the variable res is AR with order 1 , but coefficient of
the lag variable is 0. I am confused!
In this context, how do I interpret the initial output  which said "order
selected 0".



Any help is appreciated.


Thanks,
Preetam







-- 
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year,                                             Room No. N-114
Statistics Division,                                           C.V.Raman
Hall
Indian Statistical Institute,                                 B.H.O.S.
Kolkata.

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