Hi all I have been searching on the web in vain. I want to include a dummy variable in my ARIMA model. Let's say that I want to make an AR(1) model for X including a dummy variable which should be 1 for observation 4,5,6 and zero otherwise (let's say that there is 50 observations in total). How do I make that? This does the trick but seems inefficient: dummy<-c(rep(0,3), rep(1,3), rep(0,44)) Thx in advance Best regards /Mikael [[alternative HTML version deleted]]
Inline. Cheers, Bert Bert Gunter Genentech Nonclinical Biostatistics (650) 467-7374 "Data is not information. Information is not knowledge. And knowledge is certainly not wisdom." Clifford Stoll On Thu, Feb 26, 2015 at 8:02 AM, Mikael Olai Milh?j <mikaelmilhoj at gmail.com> wrote:> Hi all > > I have been searching on the web in vain. I want to include a dummy > variable in my ARIMA model. Let's say that I want to make an AR(1) model > for X including a dummy variable which should be 1 for observation 4,5,6 > and zero otherwise (let's say that there is 50 observations in total). How > do I make that?You don't, really. 1. Go through an R tutorial so that you understand the concept of factors and how they are used in R modeling. 2. fact <- factor( (1:50) %in% (4:6)) Cheers, Bert> > This does the trick but seems inefficient: dummy<-c(rep(0,3), rep(1,3), > rep(0,44)) > > Thx in advance > > Best regards > /Mikael > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > 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.
Hi. First of all, thx. But when using in arima(...xreg=fact,...) then fact should be a vector and not a factor variable? Maybe I should have been more clear in my first mail, sorry. Or else I have to dig deeper into factors. /Mikael On Thu, Feb 26, 2015 at 5:17 PM, Bert Gunter <gunter.berton at gene.com> wrote:> Inline. > > Cheers, > Bert > > Bert Gunter > Genentech Nonclinical Biostatistics > (650) 467-7374 > > "Data is not information. Information is not knowledge. And knowledge > is certainly not wisdom." > Clifford Stoll > > > > > On Thu, Feb 26, 2015 at 8:02 AM, Mikael Olai Milh?j > <mikaelmilhoj at gmail.com> wrote: > > Hi all > > > > I have been searching on the web in vain. I want to include a dummy > > variable in my ARIMA model. Let's say that I want to make an AR(1) model > > for X including a dummy variable which should be 1 for observation 4,5,6 > > and zero otherwise (let's say that there is 50 observations in total). > How > > do I make that? > > You don't, really. > > 1. Go through an R tutorial so that you understand the concept of > factors and how they are used in R modeling. > > 2. fact <- factor( (1:50) %in% (4:6)) > > Cheers, > Bert > > > > > This does the trick but seems inefficient: dummy<-c(rep(0,3), rep(1,3), > > rep(0,44)) > > > > Thx in advance > > > > Best regards > > /Mikael > > > > [[alternative HTML version deleted]] > > > > ______________________________________________ > > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > > 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. >[[alternative HTML version deleted]]
Have a look at the caschrono package.
There's an excellent associated book by the author of the package -Yves
Aragon- but it's in French; if you don't read French, the package
documentation is very clear.
Jos?
-----Original Message-----
From: R-help [mailto:r-help-bounces at r-project.org] On Behalf Of Mikael Olai
Milh?j
Sent: 26 February 2015 16:03
To: r-help at r-project.org
Subject: [R] Dummy variable in ARIMA
Hi all
I have been searching on the web in vain. I want to include a dummy variable in
my ARIMA model. Let's say that I want to make an AR(1) model for X including
a dummy variable which should be 1 for observation 4,5,6 and zero otherwise
(let's say that there is 50 observations in total). How do I make that?
This does the trick but seems inefficient: dummy<-c(rep(0,3), rep(1,3),
rep(0,44))
Thx in advance
Best regards
/Mikael
[[alternative HTML version deleted]]
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and provide commented, minimal, self-contained, reproducible code.
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