R help - Nov 2012 - order.max specification problem in the ar.ols function

Hello
I am facing a curious problem.I have a time series data with which i want to
fit auto-regressive  model of order p, where p runs from 1:9.I am using a
for loop which will fit an AR(p) model for each value of p using the
*ar.ols* function.
I am using the following code
for ( p in 1:9){
a=ar.ols (x=data.ts, order.max=p, demean=T, intercept=T)
}
Specifying the *order.max* to be p, it gives me a fitted AR model of order
exactly p, though it may not be the best model.
The code works fine except for p=4,5, in which cases it fits an AR (3) model
to the data.
I don't seem to understand what is the problem.Also is there any alternative
way by which i can fit an AR(p) model where p is specified by the user?
Any help in this matter will be of immense help.
Thank you.
Soham Chakraborty



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Hello,

Just set argument aic = FALSE. From the help page:

|aic|

Logical flag. If |TRUE| then the Akaike Information Criterion is used to 
choose the order of the autoregressive model. If |FALSE|, the model of 
order |order.max| is fitted.


Hope this helps,

Rui Barradas
Em 27-11-2012 10:36, soham chakraborty escreveu:
> Hello
> I am facing a curious problem.I have a time series data with which i want
to
> fit auto-regressive  model of order p, where p runs from 1:9.I am using a
> for loop which will fit an AR(p) model for each value of p using the
> *ar.ols* function.
> I am using the following code
> for ( p in 1:9){
> a=ar.ols (x=data.ts, order.max=p, demean=T, intercept=T)
> }
> Specifying the *order.max* to be p, it gives me a fitted AR model of order
> exactly p, though it may not be the best model.
> The code works fine except for p=4,5, in which cases it fits an AR (3)
model
> to the data.
> I don't seem to understand what is the problem.Also is there any
alternative
> way by which i can fit an AR(p) model where p is specified by the user?
> Any help in this matter will be of immense help.
> Thank you.
> Soham Chakraborty
>
>
>
> --
> View this message in context:
http://r.789695.n4.nabble.com/order-max-specification-problem-in-the-ar-ols-function-tp4650942.html
> Sent from the R help mailing list archive at Nabble.com.
>
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Thank you very much for the advice.It works that way.
Soham Chakraborty



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