Try this:
set.seed(1) sim.ar <- arima.sim(list(ar = c(0.4, 0.4)), n = 1000) z<- gl(5, 1, 1000) zm <- model.matrix(~z)[,-1] arima(sim.ar, order=c(2,0,0), xreg = zm) On 1/15/07, sj <[EMAIL PROTECTED]> 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]] > > ______________________________________________ > [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. > ______________________________________________ [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.
