R help - Jul 2005 - RESIDUALS IN THE AR TIME SERIES FUNCTION

Dear all,

It's possible to obtain the residuals with AR time series function.

 

Thanks in advance,

Massimiliano Talarico

Pianificazione Commerciale - Area Crm

Unicredit Xelion Banca S.p.A.

Via Pirelli 32 - 20124 Milano

Tel.: 02 67360 525

Fax: 02 67738 525

www.xelion.it

 


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On 7/4/05, Talarico Massimiliano (Xelion)
<Massimiliano.Talarico at xelion.unicredit.it>
wrote:
> Dear all,
> 
> It's possible to obtain the residuals with AR time series function.
There is no residuals method for the "ar" class but you could
try this using the lh dataset as an example.  Note that the
zoo package is required in order to use zoo's lag function,
which has been enhanced to take a vector of lags, and dyn 
of the dyn package is used to add dynamic regression 
capabilities to lm.  Also, this example uses features in
the most recent versions of the dyn and zoo packages
so be sure you have the latest ones from CRAN.

ar(lh)
library(dyn) # this also brings in zoo
lh.zoo <- as.zoo(lh)
lh.lm <- dyn$lm(lh.zoo ~ lag(lh.zoo, -seq(3)))
lh.lm # seems close to the coefficients calculated by ar
resid(lh.lm)

On Mon, 4 Jul 2005, Talarico Massimiliano (Xelion) wrote:
> Dear all,
>
> It's possible to obtain the residuals with AR time series function.
Yes, that's true if you refer to the function ar().
Or was it a question? If so, look at the `value' section of
  help(ar)
which gives you the answer.
Z
>
>
> Thanks in advance,
>
> Massimiliano Talarico
>
> Pianificazione Commerciale - Area Crm
>
> Unicredit Xelion Banca S.p.A.
>
> Via Pirelli 32 - 20124 Milano
>
> Tel.: 02 67360 525
>
> Fax: 02 67738 525
>
> www.xelion.it
>
>
>
>
> 	[[alternative HTML version deleted]]
>
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