[R] Help with predict.Arima with external regressor values [Repalced]

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From: Yves (yves.oloui@free.fr)
Date: Fri 19 Dec 2003 - 08:16:42 EST


Message-id: <JPELJKOEGFEPPGDABMNAIENLCAAA.yves.oloui@free.fr>


Hi all there

I am enjoying R since 2 weeks and I come to my first deadlock, il am trying
to use predict.Arima in the ts package.
I get a "Error in cbind(...) : cannot create a matrix from these types"

-- Start R session -----------------------------------------------------

> fitdiv <- arima(data, c(2, 0, 3), xreg = y ) ; print(fitdiv)

Call:
arima(x = data, order = c(2, 0, 3), xreg = y)

Coefficients:
         ar1 ar2 ma1 ma2 ma3 intercept EUSA1 EUSA10
EUSA15 EUSA20 EUSA5 H15T10Y H15T1Y H15T20Y H15T3M H15T5Y USSW10
      -0.001 0.6502 0.3328 -0.5021 -0.1135 -0.0535 0.0469
0.0075 -0.0263 0.0299 -0.0344 0.1012 -0.0382 0.0092
0.0385 -0.0757 -0.1577
s.e. 0.523 0.4002 0.5262 0.2711 0.0828 0.1027 0.0308 0.0802
0.0931 0.0743 0.0414 0.0469 0.0215 0.0360 0.0276 0.0344 0.0477
      USSW15 USSW20 USSW30 USSW5 CAC.INDEX DAX.INDEX MIB30.INDEX
OMX.INDEX SX5P.INDEX UKX.INDEX VDAX.INDEX VIX.INDEX
      0.0254 -0.0141 0.0133 0.1186 -0.1816 0.0652
   0.0848 -0.1836 0.1134 -0.1742 0.0236 -0.0482
s.e. 0.0588 0.0251 0.0363 0.0278 0.0907 0.0528 0.0860
0.0516 0.1518 0.1025 0.0591 0.0470

sigma^2 estimated as 1.258: log likelihood = -762.3, aic = 1584.59
>
> fordiv <- predict(fitdiv, n.ahead = 1, newxreg = newregy , se.fit = TRUE)
Error in cbind(...) : cannot create a matrix from these types
>
>
> str(data)
 num [1:497] -0.34 -1.36 -0.5 -0.46 0.01 0.1 0.68 0.06 0.16 0.48 ...
>
> str(newregy)
 num [1, 1:23] -0.6 -0.3 0.15 1.08 -1.8 3 2 3 0 5 ...
 - attr(*, "dimnames")=List of 2
  ..$ : chr "498"
  ..$ : chr [1:23] "EUSA1" "EUSA10" "EUSA15" "EUSA20" ...
>
> str(y)
`data.frame': 497 obs. of 23 variables:
 $ EUSA1 : num 0.7 5.9 -0.6 1.8 5.7 1.9 0.5 -6.6 2.5 2.3 ...
 $ EUSA10 : num -4.5 3.8 -11.7 3.2 4.2 -5.4 -2.2 -6.5 0.8 2 ...
 $ EUSA15 : num -5.4 3.6 -11 3.7 3.4 -4.3 -3.9 -4.7 0.3 2.6 ...
 $ EUSA20 : num -5 3.6 -10.8 4.3 2.3 -4.1 -3.5 -5 0 3.1 ...
 $ EUSA5 : num -4.3 5.4 -10.8 2.5 6.3 -2.4 -1.3 -6.6 2.3 -0.2 ...
 $ H15T10Y : num -4 2 -9 1 0 -10 -8 -1 -3 0 ...
 $ H15T1Y : num -4 1 -6 0 -2 -7 -12 2 -1 2 ...
 $ H15T20Y : num -3 4 -11 1 -1 -12 -4 2 -6 2 ...
 $ H15T3M : num -1 -1 -4 0 0 0 -10 0 2 1 ...
 $ H15T5Y : num -4 2 -11 0 -1 -11 -13 1 -1 2 ...
 $ USSW10 : num -8.6 0.6 -10.5 2.4 -2.9 -5.8 -15 0.4 -3.5 1 ...
 $ USSW15 : num -7.9 1.1 -9.8 2 -3.1 -5.8 -13.2 2 -4.4 2.1 ...
 $ USSW20 : num -6.7 1.4 -9.5 1.3 -3 -6 -11 1.2 -4.2 2.9 ...
 $ USSW30 : num -6.2 1.3 -8.4 1.6 -2.6 -6.9 -8.5 -0.9 -2.8 2.2 ...
 $ USSW5 : num -7.7 -0.4 -12.7 0.9 -4 -7.4 -17.5 0.9 0.3 1.6 ...
 $ CAC.INDEX : num 2.18 0.03 -1.45 -1.03 0.41 -1.57 0.86 -2.24 1.44 -2.08
...
 $ DAX.INDEX : num 1.96 0.91 -1.64 0.08 0.99 -1.14 -0.35 -2.81 -0.08 -1.55
...
 $ MIB30.INDEX: num 2.08 -0.48 -0.94 0.82 0.22 -2.22 0.8 -2.5 1.34 -1.35
...
 $ OMX.INDEX : num 4.07 0.28 -0.56 -2.47 -0.16 -1.58 1.13 -3.5 -1.15 -1.85
...
 $ SX5P.INDEX : num 1.95 0.1 -1.22 -1.01 -0.31 -0.96 0.84 -2.71 1.18 -1.05
...
 $ UKX.INDEX : num 1.91 0.09 -0.57 -0.82 -0.42 -0.73 0.15 -1.65 1.02 -0.75
...
 $ VDAX.INDEX : num -1.59 -0.74 0.73 -0.36 -0.36 0.87 -0.51 1.64 -0.02 0.85
...
 $ VIX.INDEX : num -1.37 -0.89 1.22 0.16 0.3 -0.1 0.57 0.98 -0.88 0.75 ...
>
> fordiv <- predict(fitdiv, n.ahead = 1, newxreg = matrix(0,1,23) , se.fit
= TRUE)
Error in cbind(...) : cannot create a matrix from these types
>

-- End R session -----------------------------------------------------

I also tried to replace newregy by a matrix of zeros matrix(0,1,23)

Please tell if I am doing something wrong ... I did not see any example in
the help about external regressor so I had to start from scratch.

Best regards

Yves Oloui.

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