R help - Jan 2008 - question about xreg of arima

Hi,

I am trying to understand exactly what xreg does in arima. The documentation
for xreg says:"xreg Optionally, a vector or matrix of external regressors,
which must have the same number of rows as x." What does this mean with
regard to the action of xreg in arima?

Apparently somehow xreg made the following two arima fit equivalent in R:

arima(x, order=c(1,1,1), xreg=1:length(x))

is the same as

 arima(diff(x), order=c(1,0,1))

While I understand the latter fit (I think), I am puzzled with regard to the
former. Does anyone know what the former is doing to arima, and why it works
as it does?

Thanks!
-- 
Tom

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Tom

A constant term is not included in the model if any differencing is
specified. The xreg= parameter is used to add other explanatory variables to
the model. In your case xreg=1:length(x) adds a vector of 1's to the model.
Robert Shumway and David Stoffer's website for their  "Time Series
Analysis
an its Applications with R Examples" text has several very helpful
documents
posted on the site (http://www.stat.pitt.edu/stoffer/tsa2/index.html)
specific to time series analysis. The R ISSUES document address your
question.   

 

Richard

 
>Hi, 
>I am trying to understand exactly what xreg does in arima. The
documentation for xreg says:"xreg Optionally, a vector or matrix of
external
regressors, which must have >the same number of rows as x." What does
this
mean with regard to the action of xreg in arima? 

 

 
>Apparently somehow xreg made the following two arima fit equivalent in R: 
>arima(x, order=c(1,1,1), xreg=1:length(x)) 
>is the same as 
> arima(diff(x), order=c(1,0,1)) 
>While I understand the latter fit (I think), I am puzzled with regard to
the former. Does anyone know what the former is doing to arima, and why it
works as it does? 
>Thanks! 
-- 
>Tom
 

Richard Saba

Department of Economics

Auburn University

Auburn, AL 36849  USA

sabaric@auburn.edu

 

 


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