[R] ARIMA xreg and factors
Prof Brian Ripley
ripley at stats.ox.ac.uk
Tue Jan 16 08:50:56 CET 2007
>From the help page
xreg: Optionally, a vector or matrix of external regressors, which
must have the same number of rows as 'x'.
Note, not a factor. (It handles your factor like the integer vector it is
internally.) If you want a design matrix you need to make one, something
include.mean = FALSE, xreg = model.matrix(~z)
On Mon, 15 Jan 2007, sj wrote:
> 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 at stat.math.ethz.ch mailing list
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
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 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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