[R-sig-Finance] arma model results when exogenouse variables used in ARMA(p=5, q=(1-6, 19))

Joe Byers joe-byers at utulsa.edu
Thu Jul 6 18:38:02 CEST 2006


I posted a message earlier about fitting an ARMA(p=5,q=(1-6,19)) with 
exnogenouse variables (xreg=exovars), and masking (fixed=fixedparms) the 
MA terms 7-18 to get the model to run. I am reposting some of the 
message to help with understanding the summary() function problem

My code is
    fixed=c(rep(NA,5),rep(NA,6),rep(0,12),NA,NA);#5 ar terms, 19 ma
terms fixed 7-18 lag ma term, intercept

    fixed<-c(fixed,NA); #add the lin.trend term
    summary.fARMA.HTML(ts.results.2.ma,title="AR(5) MA(1:6,19) with 
Intercept and Linear Trend");# this function is a modification of 
summary.fARMA to work with r2HTML replacing the cat() functions.

The problem I have is that the @fit$coef(26) and @fit$se.coef(14) are of 
different lengths causing the t-stats calculation is summary to issue 
Warning messages:
1: longer object length
        is not a multiple of shorter object length in: 
2: number of rows of result
        is not a multiple of vector length (arg 2) in: cbind(1, 
format(object$coef, digits = digits), format(object$se.coef,  
The tval and prob are not correct.

The summary() code is
    tval <- object$coef/object$se.coef
    prob <- 2 * (1 - pnorm(abs(tval)))
    ans$coefmat <- cbind(format(object$coef,digits=digits), 
        format(tval,digits=digits), prob=format.pval(prob,digits=digits))
    dimnames(ans$coefmat) <- list(names(object$coef), c(" Estimate",
        " Std. Error", " t value", "Pr(>|t|)"))

I can modify tval as
    prob <- 2 * (1 - pnorm(abs(tval)))

The subset functions removes all FALSE or masked MA terms from the coef 
vector.  It will return a vector of length 14.  Now I have to expand 
tval, prob and se.coef out to match the length of coef to get the the 
results printed correctly.

Can anyone help me with this? It would probably be a good thing to 
include in future versions of rMetrics as well.

Thank you
Joe W. Byers

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