Re: [R] ARIMA xreg and factors

From: Gabor Grothendieck <ggrothendieck_at_gmail.com>
Date: Tue 16 Jan 2007 - 02:43:04 GMT

Try this:

set.seed(1)
sim.ar <- arima.sim(list(ar = c(0.4, 0.4)), n = 1000) z<- gl(5, 1, 1000)
zm <- model.matrix(~z)[,-1]
arima(sim.ar, order=c(2,0,0), xreg = zm)

On 1/15/07, sj <ssj1364@gmail.com> wrote:
> 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
>
> [[alternative HTML version deleted]]
>
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>



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Tue Jan 16 13:48:58 2007

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