[R-SIG-Finance] ARIMA XREG ERROR (package stats, mass)

[Wayne.W.Jones at shell.com]

Hi Roberto, 

Your examples work fine on my 2.6.1 version of R running on windows, see below. 

The main difference in your output is that R says it is trying to fit a model with a zero mean.

try this: 

arima(LakeHuron, order = c ( 2 , 0 , 0 )  , include.mean=T, xreg =  time(LakeHuron) - 1920 )


What version of R are you using on what platform?

Regards

Wayne





> arima(LakeHuron, order = c ( 2 , 0 , 0 )  ,  xreg =  time(LakeHuron) - 1920 )

Call:
arima(x = LakeHuron, order = c(2, 0, 0), xreg = time(LakeHuron) - 1920)

Coefficients:
         ar1      ar2  intercept  time(LakeHuron) - 1920
      1.0048  -0.2913   579.0993                 -0.0216
s.e.  0.0976   0.1004     0.2370                  0.0081

sigma^2 estimated as 0.4566:  log likelihood = -101.2,  aic = 212.4


> arima( beav2$temp , c( 1 , 0 , 0 ), xreg = beav2$activ)

Call:
arima(x = beav2$temp, order = c(1, 0, 0), xreg = beav2$activ)

Coefficients:
         ar1  intercept  beav2$activ
      0.8733    37.1920       0.6139
s.e.  0.0684     0.1187       0.1381

sigma^2 estimated as 0.01518:  log likelihood = 66.78,  aic = -125.55




-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch]On Behalf Of Iacopetti
dott. Roberto
Sent: 03 March 2008 14:34
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] ARIMA XREG ERROR (package stats, mass)


Dear list,

i'm not able to fit an arima model with an external regressor:
an error message appears :
 "regression variables fitted: error in dim(data) <- dim:dim<- :  first argument not valid "

this appens also in a simple examples point out in the function documentation

see   stats 
 
> arima(LakeHuron, order = c ( 2 , 0 , 0 )  ,  xreg =  time(LakeHuron) - 1920 )
Series: LakeHuron 
ARIMA(2,0,0) with zero mean     
Regression variables fitted:
Errore in dim(data) <- dim : dim<- : primo argomento non valido

and more MASS


>arima( beav2$temp , c( 1 , 0 , 0 ), xreg = beav2$activ)
Series: beav2$temp 
ARIMA(1,0,0) with zero mean     

Regression variables fitted:
Errore in dim(data) <- dim : dim<- : primo argomento non valido

Anyone know this problem ??

Any help is very appreciated...........



Roberto Iacopetti


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