Thanks Richard. I am just trying to understand exactly what is R's arima doing, and I am having a hard time. It seems that xreg is necessary to force arima to include the constant term, but it appears that exactly how this is done is not documented. If a series is not differenced, e.g. AR(1), then does one still need to include xreg? If I take an AR(1) series with known coefficient and use arima to do the fit using arima, i.e., arima(x = ar1, order = c(1, 0, 0)), the estimated coefficient is not as good as a simple lm fit using a one period lag. I am wondering if this should be the expected result? Then, I tried Robert Shumway's sarima, and it gave me a much better coefficient compared to arima (but still a little bit worse than lm). I don't understand why this is happening. I guess I am even more confused...
On 1/12/08, Richard Saba <[EMAIL PROTECTED]> wrote: > > Tom > > A constant term is not included in the model if any differencing is > specified. The xreg= parameter is used to add other explanatory variables to > the model. In your case xreg=1:length(x) adds a vector of 1's to the model. > Robert Shumway and David Stoffer's website for their "Time Series Analysis > an its Applications with R Examples" text has several very helpful documents > posted on the site (http://www.stat.pitt.edu/stoffer/tsa2/index.html) > specific to time series analysis. The R ISSUES document address your > question. > > > > Richard > > > > >Hi, > > >I am trying to understand exactly what xreg does in arima. The > documentation for xreg says:"xreg Optionally, a vector or matrix of external > regressors, which must have >the same number of rows as x." What does this > mean with regard to the action of xreg in arima? > > > > > > >Apparently somehow xreg made the following two arima fit equivalent in R: > > > >arima(x, order=c(1,1,1), xreg=1:length(x)) > > >is the same as > > > arima(diff(x), order=c(1,0,1)) > > >While I understand the latter fit (I think), I am puzzled with regard to > the former. Does anyone know what the former is doing to arima, and why it > works as it does? > > >Thanks! > > -- > > >Tom > > > > Richard Saba > > Department of Economics > > Auburn University > > Auburn, AL 36849 USA > > [EMAIL PROTECTED] > > > > > -- Tom [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org 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.
