[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))


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

thank you,


        [[alternative HTML version deleted]]

R-help@stat.math.ethz.ch mailing list
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 12:23:13 2007

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.1.8, at Tue 16 Jan 2007 - 08:30:28 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.