[R] ARIMA xreg and factors

From: sj <ssj1364_at_gmail.com>
Date: Tue 16 Jan 2007 - 01:16:06 GMT


I am using arima to develop a time series regression model, I am using arima b/c I have autocorrelated errors. Several of my independent variables are categorical and I have coded them as factors . When I run ARIMA I don't get any warning or error message, but I do not seem to get estimates for all the levels of the factor. Can/how does ARIMA handle factors in xreg?

here is some example code:

sim.ar <- arima.sim(list(ar = c(0.4, 0.4)), n = 1000) z<- factor(rep((1:5),200))

arima(sim.ar,order=c(2,0,0),xreg=z)

I only get a single estiamte for xreg. Am I thinking about this wrong (I expected 4).

thank you,

Spencer

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