Hello,
My question is related to the rugarch package and its arfimafit function.
I am trying to fit an arfima(7,d,1) with an exogenous variable. Here is a
part of my code:
spec1<- arfimaspec(mean.model = list(armaOrder = c(7, 1), include.mean
=
FALSE,arfima = TRUE, external.regressors =
lagtempdata))
arfimafittemp<- arfimafit(spec= spec1, data=temperaturelmrestest,
out.sample = 0, solver = "nlminb" )
Both lagtempdata and temperaturelmrestest are matrices with dimensions of
3278 rows by 1 column. I get the following error:
Error in pars[idx["mxreg", 1]:idx["mxreg", 2], 1] = fit.mean[i] :
replacement has length zero
Do you know where it comes from and how I can fix it?
Thank you and have a nice day,
Anne-Marie
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