[R] warnings in ARMA with other regressor variables

Jose Iparraguirre Jose.Iparraguirre at ageuk.org.uk
Thu May 2 14:07:32 CEST 2013


Have a look at this post: http://stats.stackexchange.com/questions/26999/auto-arima-warns-nans-produced-on-std-error

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Preetam Pal
Sent: 02 May 2013 12:24
To: r-help at r-project.org
Subject: [R] warnings in ARMA with other regressor variables

Hi all,

I want to fit the following model to my data:

Y_t= a+bY_(t-1)+cY_(t-2) + Z_t +Z_(t-1) + Z_(t-2) + X_t + M_t

i.e. it is an ARMA(2,2) with some additional regressors X and M.

[Z_t's are the white noise variables]

So, I run the following code:

for (i in 1:rep)  {            index=sample(4,15,replace=T)

 --------------------------------> this gives me my data set




I get warnings like:

arima0(x = l, order = c(2, 0, 2), xreg = g, method = ("ML"))

         ar1      ar2      ma1     ma2  intercept  xreg
      0.2549  -0.7722  -0.5586  0.3563      3e-04     0
s.e.  0.1072   0.0866   1.6725  0.2221      2e-04   NaN

sigma^2 estimated as 3.921e-06:  log likelihood = 311.72,  aic = -609.44

Warning message:
In sqrt(diag(x$var.coef)) : NaNs produced

What does this output mean?
How do I get rid of this and do my analysis properly?

Any help is welcome.


Preetam Pal
M-Stat 2nd Year,                                             Room No. N-114
Statistics Division,                                           C.V.Raman
Indian Statistical Institute,                                 B.H.O.S.

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