Full_Name: Ahmad Abu Hammour Version: rw0651 OS: windows 95 Submission from: (NULL) (63.23.128.44) Although I know that "ts package" is preliminary, I wanted to compare the results from R and SPSS. I ran ARIMA(2,1,2) in both softwares. I got NaN in standard errors of coefficients from R and real figures from SPSS. I changed "delta" in R to match that used by SPSS, I received results with no NaNs but different from those from SPSS specially in MA coefficients. They came out negative numbers while positive from SPSS. -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-devel mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-devel-request@stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
On Sun, 7 Nov 1999 hammour@msn.com wrote:> Full_Name: Ahmad Abu Hammour > Version: rw0651 > OS: windows 95 > Submission from: (NULL) (63.23.128.44) > > > Although I know that "ts package" is preliminary, I wanted to compare the > results from R and SPSS. I ran ARIMA(2,1,2) in both softwares. I got NaN in > standard errors of coefficients from R and real figures from SPSS. I changed > "delta" in R to match that used by SPSS, I received results with no NaNs butCan you please submit a full and reproducible example, as the FAQ suggests? Does SPSS in fact do maximum likelihood estimation? Last time I looked it used an approximation. (You do need to be careful: for example S-PLUS's arima.mle does not do MLE, despite its name.) One isssue here is that most packages do not ensure that the returned coefficients are valid for a stationary invertible process: arima0 (by default) does. The standard errors are part of the `preliminary' bit: they are waiting for a better optimizer. The `0' on arima0 indicates that it is intended to be replaced fairly soon.> different from those from SPSS specially in MA coefficients. They came out > negative numbers while positive from SPSS.That is a matter of definition. The signs of each of the AR and MA coefficients are often swapped, so I would not be at all surprised that SPSS is different. R is intended to be consistent with S-PLUS (as documented in Venables & Ripley, at least). -- Brian D. Ripley, ripley@stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272860 (secr) Oxford OX1 3TG, UK Fax: +44 1865 272595 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-devel mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-devel-request@stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
On Sun, 7 Nov 1999 hammour@msn.com wrote:> Full_Name: Ahmad Abu Hammour > Version: rw0651 > OS: windows 95 > Submission from: (NULL) (63.23.128.44) > > > Although I know that "ts package" is preliminary, I wanted to compare the > results from R and SPSS. I ran ARIMA(2,1,2) in both softwares. I got NaN in > standard errors of coefficients from R and real figures from SPSS. I changed > "delta" in R to match that used by SPSS, I received results with no NaNs but > different from those from SPSS specially in MA coefficients. They came out > negative numbers while positive from SPSS.Mr Hammour sent me the data privately. Running arima0(y0, order=c(2,1,2), delta=-1) I get Call: arima0(x = y0, order = c(2, 1, 2), delta = -1) Coefficients: ar1 ar2 ma1 ma2 -0.7686 0.1519 -0.1143 -0.8857 Approx standard errors: ar1 ar2 ma1 ma2 0.1917 0.0912 0.1765 0.1762 sigma^2 estimated as 109859: log likelihood = -890.65, aic = 1789.3 [Using the default delta of 0.01 in this case gives inaccurate results: but it is a very badly determined model.] SPSS had Number of residuals 123 Standard error 337.30778 Log likelihood -890.6952 AIC 1789.3904 SBC 1800.6391 Variables in the Model: B SEB T-RATIO APPROX. PROB. AR1 -.78319350 .16013797 -4.8907421 .00000318 AR2 .16191191 .09435030 1.7160719 .08875107 MA1 .07993592 .54769107 .1459508 .88420721 MA2 .91762463 .49337224 1.8599032 .06536851>Warning # 16567. Command name: ARIMA >Our tests have determined that the estimated model lies close to the >boundary of the invertibility region. Although the moving average >parameters are probably correctly estimated, their standard errors and >covariances should be considered suspect.So (up to the MA sign change, a matter of definition) the estimates differ by 1 se or so. However, SPSS has given a warning, and the log-likelihoods are similar but R's is larger. This suggests that - There is no practical difference between the results, and - R's optimizer has done a better job. - R works on transformed scale and so has more chance of getting se's close to the boundary (but the error distribution will be very far from normal). - This is not a good model for the data. If there is a bug at all here, it would appear to be in SPSS. Moral: take warnings seriously. -- Brian D. Ripley, ripley@stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272860 (secr) Oxford OX1 3TG, UK Fax: +44 1865 272595 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-devel mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-devel-request@stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._