Hi,
I am trying to fit an AR model, maximum order =4, order selection
criterion is aic. I wonder why these two give different results:
m1<-ar.ols(x, aic=TRUE, method="ols", order.max=4)
m1<-auto.arima(x,d=0, D=0, max.p=4, max.P=0, max.q=0, max.Q=0, ic="aic")
Could they both use the function predict to do forecasting? Is there any
function that works better?
temp1<-predict(m1, n.ahead=4)
PI.fore[i,j]<-temp1$pred[4]
Thanks
Miao
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