[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))
> arima(sim.ar,order=c(2,0,0),xreg=z)
> I  only get a single estiamte for xreg. Am I thinking about this wrong (I
> expected 4).
> thank you,
> Spencer
> 	[[alternative HTML version deleted]]
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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 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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