I did a regression with ARMA errors using arima0 with ari<-arima0(y,order=c(2,0,2),xreg=reg1,delta=-1) or ari<-arima0(y,order=c(2,0,2),xreg=reg1) where reg1 is the matrix of the regressors and when I see diag(ari$var.coef) I get negative terms. Do you know what this mean ? I try to change transform.pars to 0 or 1 but this crash R on Windows. Is it possible to test the significativity of the estimators obtained by arima0 and how ? I use arima0 because I have regressors and it seems it is impossible to uses arma() in tseries with regressors. Does anyone make a routine for regression with ARMA errors with least squares ? Another question : how can I handle missing values in regression with ARMA errors with R ? Thank you very much. Pascal GRANDEAU PS : do you know if there exist companies making formations on R in France ? -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Arima
2 messages · Pascal GRANDEAU, Brian Ripley
On Sun, 16 Dec 2001, Pascal Grandeau wrote:
I did a regression with ARMA errors using arima0 with ari<-arima0(y,order=c(2,0,2),xreg=reg1,delta=-1) or ari<-arima0(y,order=c(2,0,2),xreg=reg1) where reg1 is the matrix of the regressors and when I see diag(ari$var.coef) I get negative terms. Do you know what this mean ?
The optimizer failed to converge, probably. You did check the convergence value in the fitted object, didn't you?
I try to change transform.pars to 0 or 1 but this crash R on Windows.
Well, transform.pars=2 first runs transform.pars=1, so this is strange. But probably your model is inappropriate.
Is it possible to test the significativity of the estimators obtained by arima0 and how ?
Well, first you need to get it to converge. Then you can use Wald tests or (better) likelihood ratio tests. The log-likelihood is in the fitted object.
I use arima0 because I have regressors and it seems it is impossible to uses arma() in tseries with regressors. Does anyone make a routine for regression with ARMA errors with least squares ?
What does that mean? `with least squares' implies independent errors. arma() fits by so-called *conditional* least squares: that leaves out terms in the log-likelihood which can be important, especially near non-stationarity. I've never understood why anyone would want to do that, except as a poor man's computational approximation.
Another question : how can I handle missing values in regression with ARMA errors with R ?
As yet there are very limited possibilties: see e.g. na.contiguous. You might want to investigate the dse bundle.
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 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._