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]]
______________________________________________
[email protected] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
