I had a couple of questions about the ar function that i was hoping
someone could answer.
I have the structure below
testSeries<-structure(c(-3.88613620955214e-05, 0, -7.77272551011343e-05,
0, -0.000194344573539562, -0.000116624876218163, -3.88779814601281e-05,
0, 3.88779814601281e-05, -0.000155520995647807, -0.000116656621367561,
-3.88885648225368e-05, -3.88900772017586e-05, 7.77786420242954e-05,
0, 7.77725929772544e-05, 0, 0, -3.88855404165889e-05,
-0.000155557284283514,
0.000116670231722849, 7.77725929772544e-05, 0, 0, 3.88840283903069e-05,
-0.000116656621367561, -7.77786420242954e-05, 0.000233317779873343,
-0.000155539137849048, 0, 0, -3.88885648225368e-05, 0, 0,
0.000116661157799791,
3.88840283903069e-05, 0, -3.88840283903069e-05, 7.77665448717935e-05,
7.77604977061919e-05, 0.000155502857678291, 0, 0, 7.77423618523176e-05,
-7.77423618523176e-05, 3.88719364105006e-05, 3.88704254418171e-05,
-3.88704254418171e-05, 3.88704254418171e-05, 0.0002331908288839,
-7.77242344552342e-05, 0, -7.7730275981791e-05, -7.77363184468749e-05,
-7.77423618523176e-05, 0, -0.000116624876218163, -3.88779814601281e-05,
-0.000233299635555240, 7.77725929772544e-05, 7.77665448717935e-05,
0.00011663847916632, 7.7751428721684e-05, 0, 3.88734474964791e-05,
3.88719364105006e-05, 7.77393400321347e-05, 3.88674038565573e-05,
-3.88674038565573e-05, 0, 7.77332970969269e-05, -3.88658932403696e-05,
-3.88674038565573e-05, 0, 0, 3.88674038565573e-05, 7.7730275981791e-05,
-7.7730275981791e-05, 0, 7.7730275981791e-05, 0, 0,
0.000233154582543582,
0.000194253968248181, 3.88462659076660e-05, 7.76880050110673e-05,
-7.76880050110673e-05, 0, 7.76880050110673e-05, -3.88432480773471e-05,
0, 3.88432480773471e-05, 0, 0, 0, -3.88432480773471e-05,
-0.000194238875579067,
0, -3.88523029751786e-05, -3.88538125353222e-05, -0.000116570496139390,
-3.8859851948958e-05, 0, 0, 0.000155430348088348, 0,
3.88538125353222e-05,
0, 3.88523029751786e-05, 0, 3.88507935322746e-05, 3.88492842067212e-05,
0, 0, -7.77000777389958e-05, 0, 0, -3.88523029751786e-05,
-3.88538125353222e-05,
0, 0.000155406193249497, 0, -0.000155406193249497,
-0.000116570496139390,
-3.8859851948958e-05, -7.77242344552342e-05, -3.88643827414215e-05,
3.88643827414215e-05, 3.88628723597129e-05, -7.77272551011343e-05,
-3.88658932403696e-05, 0.000116593148341504, 0, 7.77212140444794e-05,
0, 0, 0, 3.88583419195232e-05, 7.77121542198667e-05, 0, 0,
7.77061155105008e-05,
0, 7.77000777389958e-05, 0, 0, -7.77000777389958e-05,
7.77000777389958e-05,
0, -7.77000777389958e-05, 3.88507935322746e-05, 3.88492842067212e-05,
-7.77000777389958e-05, 7.77000777389958e-05, -7.77000777389958e-05,
7.77000777389958e-05, -3.88492842067212e-05, 3.88492842067212e-05,
0, 0, 0, 3.88477749986849e-05, -3.88477749986849e-05, 0, 0,
-3.88492842067212e-05,
0, -3.88507935322746e-05, 0, 0, -0.000155418269730367, 0,
3.88568320072724e-05,
-3.88568320072724e-05, 0, 0, 0, 0, 0, -7.77181938684812e-05,
-7.77242344552342e-05, 7.77242344552342e-05, 0, 7.77181938684812e-05,
0, -7.77181938684812e-05, 3.8859851948958e-05, 0, 0,
-3.8859851948958e-05,
0, 0, 0, -7.77242344552342e-05, -0.000233208956280984,
-0.000155502857678291,
0.000155502857678291, -3.88734474964791e-05, 0, 3.88734474964791e-05
), index = structure(c(1115056920, 1115056980, 1115057040, 1115057100,
1115057160, 1115057220, 1115057280, 1115057340, 1115057400, 1115057460,
1115057520, 1115057580, 1115057640, 1115057700, 1115057760, 1115057820,
1115057880, 1115057940, 1115058000, 1115058060, 1115058120, 1115058180,
1115058240, 1115058300, 1115058360, 1115058420, 1115058480, 1115058540,
1115058600, 1115058660, 1115058720, 1115058780, 1115058840, 1115058900,
1115058960, 1115059020, 1115059080, 1115059140, 1115059200, 1115059260,
1115059320, 1115059380, 1115059440, 1115059500, 1115059560, 1115059620,
1115059680, 1115059740, 1115059800, 1115059860, 1115059920, 1115059980,
1115060040, 1115060100, 1115060160, 1115060220, 1115060280, 1115060340,
1115060400, 1115060460, 1115060520, 1115060580, 1115060640, 1115060700,
1115060760, 1115060820, 1115060880, 1115060940, 1115061000, 1115061060,
1115061120, 1115061180, 1115061240, 1115061300, 1115061360, 1115061420,
1115061480, 1115061540, 1115061600, 1115061660, 1115061720, 1115061780,
1115061840, 1115061900, 1115061960, 1115062020, 1115062080, 1115062140,
1115062200, 1115062260, 1115062320, 1115062380, 1115062440, 1115062500,
1115062560, 1115062620, 1115062680, 1115062740, 1115062800, 1115062860,
1115062920, 1115062980, 1115063040, 1115063100, 1115063160, 1115063220,
1115063280, 1115063340, 1115063400, 1115063460, 1115063520, 1115063580,
1115063640, 1115063700, 1115063760, 1115063820, 1115063880, 1115063940,
1115064000, 1115064060, 1115064120, 1115064180, 1115064240, 1115064300,
1115064360, 1115064420, 1115064480, 1115064540, 1115064600, 1115064660,
1115064720, 1115064780, 1115064840, 1115064900, 1115064960, 1115065020,
1115065080, 1115065140, 1115065200, 1115065260, 1115065320, 1115065380,
1115065440, 1115065500, 1115065560, 1115065620, 1115065680, 1115065740,
1115065800, 1115065860, 1115065920, 1115065980, 1115066040, 1115066100,
1115066160, 1115066220, 1115066280, 1115066340, 1115066400, 1115066460,
1115066520, 1115066580, 1115066640, 1115066700, 1115066760, 1115066820,
1115066880, 1115066940, 1115067000, 1115067060, 1115067120, 1115067180,
1115067240, 1115067300, 1115067360, 1115067420, 1115067480, 1115067540,
1115067600, 1115067660, 1115067720, 1115067780, 1115067840, 1115067900,
1115067960, 1115068020, 1115068080, 1115068140, 1115068200, 1115068260,
1115068320, 1115068380, 1115068440, 1115068500, 1115068560, 1115068620,
1115068680, 1115068740, 1115068800, 1115068860), class = c("POSIXt",
"POSIXct")), class = "zoo")
I call the ar function with aic=TRUE as below so that it picks the order
of the ar model based on BIC. Yet it returns with no coefficients as the
best model.
I do the same call using many, series in a loop ( besides just the one
above ) and it returns zero coefficients quite a bit of the time.
1) can this be possible ? because i don't see how zero coefficients
could be better than one or some ?
ARest<-ar(testSeries,aic=TRUE,demean=FALSE,order.max=4,method="ols")
2) also, is there a way to calculate the t-stats for the coefficients
that come back ?
it would probably be easier for me to just call arima over and over in a
loop while decreasing the number of lags each time by 1 but
i am not clever enough in R to do this ? i imagine it requires some form
of the use of embed but i looked at the code for ar and it
was pretty beyond me. if anyone happens to have code for doing this type
of thing, that would be great also. thank you very much.
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