You can have lagged inputs in the xreg statement, you just have to construct the input matrix properly so the dimensions are the same, e.g.,
x = ts.intersect(mort, trend, part, lag(part,-4)) arima(x[,1],order=c(2,0,1), xreg=x[,2:4]) ... and yes you have to worry about singularities or even multicolinearity (near or computational singularity), e.g., this fails: x = ts.intersect(mort, trend, part, part) arima(x[,1],order=c(2,0,1), xreg=x[,2:4]) Jose Capco wrote: > > > > On Sep 11, 6:24 am, David Stoffer <[EMAIL PROTECTED]> wrote: >> Your model is close, but not correct... there are no t's on the >> parameters >> and the U's aren't lagged. >> >> You can find an ARMAX example on our "quick fix" >> page:http://www.stat.pitt.edu/stoffer/tsa2/R_time_series_quick_fix.htm. >> The >> example is near the bottom and just above the spectral analysis example, >> but >> you may want to read the "regression with autocorrelated errors" example >> first to get some background. >> >> >> > > Ok. so arima of R can only deal with unlagged inputs (thus xreg has > the latest value in the equation). Your example was an ARX (no moving > averages) > here is the code of yoru example : armax.fit = arima(mort, > order=c(2,0,0), xreg=cbind(trend, part)) > I guess I can change it to ARMAX if I use order=c(p,0,q) =) > > Now theres one thing that might be worth mentioning here though. The > above can only work (I am guessing) if the input values (the columns > of xreg) are uncorrelated (or what word do use for that, sorry Im a > pure mathematician, not a statistician :p ). What I mean is that the > matrix in which optim of R must be singular (otherwise I think, from > my last try when using two equal valued columns in xreg, arima will > complain that optim returns an infinity value). Is there a way to > check if the xreg matrix have uncorrelated inputs and then just > discard the column until xreg becomes uncorrelated? I'll do a few more > experiment with xreg and report here.. Im doing this because the > documentation (as many of us already know.. ) do not really explain > xreg very well. > > Sincerely, > Jose Capco > > ______________________________________________ > 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. > > ----- The power of accurate observation is commonly called cynicism by those who have not got it. George Bernard Shaw -- View this message in context: http://www.nabble.com/arima-and-xreg-tp19415386p19440600.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.
