[R] ARIMA0 with xreg,

[Prof Brian Ripley]

You need to define some terms.  But from `VAR' and `matrix of data' I
guess that you have a multiple time series.  If so, it just isn't valid
to use arima0, which is univariate.  You also did not say what `x' is,
but the `x' in `xreg' means eXogenous.

On Wed, 19 Dec 2001, Brian Scholl wrote:

> Hi all,
>
> Using ar(), I fit a VAR to my time series that has a
> reasonably 'nice' error spectrum and aic determines
> p=7.   But the output for ar isn't quite as convenient
> as arima0, namely in that it takes me an extra step to
> get the s.e.'s of parameters and it doesn't produce an
> estimate of the log-likelihood for comparison to other
> models. So I thought I'd use arimia0, with xreg=x, my
> matrix of data and order=(7,0,0).
>
> When I do this, the results are funny.  The residuals
> look - well, just like the original series on a
> readjusted scale.  The spectrum for the residuals
> looks slightly different from the spectrum of x and
> bears no resemblance to the nice spectrum I got before
> (this one looks like a long memory process, while the
> earlier was closer to white noise).  Certainly I don't
> expect the spectra and residuals to look exactly alike
> because of the different solution methods, but these
> bear little resemblance to each other.
>
> I assume, of course that the error is on my part,
> perhaps something I've overlooked, but I'm not able to
> find it.
>
> Thanks,
>
> Brian
>
>
>
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-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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