Displaying 4 results from an estimated 4 matches for "armafit".
2009 Feb 16
0
I can't apply the summary function when I use de armaFit (fArma)...
Hi,
I can't apply the summary function when I use de armaFit (fArma).
Can you help?
fit<-armaFit(~arma(1,0),data=age55)
fit
Title:
ARIMA Modelling
Call:
armaFit(formula = ~arma(1, 0), data = age55)
Model:
ARIMA(1,0,0) with method: CSS-ML
Coefficient(s):
ar1 intercept
-0.564184 0.001190
Description:
Mon Feb 16 15:00:54 20...
2008 May 22
1
How to account for autoregressive terms?
...-ts.union(dep,indep.ret1,indep.ret2,indep.ret3,indep.ret4,indep.ret5,dep.lag1=lag(dep,-1),dep.lag2=lag(dep,-2),dep.lag3=lag(dep,-3))
fit1 <- lm(dep~indep.ret1+indep.ret2+indep.ret3+indep.ret4+indep.ret5+dep.lag1+dep.lag2+dep.lag3,data=d)
summary(fit1)
#coeftest(fit1,vcov=NeweyWest)
2) using armaFit:
fit2<-armaFit(dep~ar(3),xreg=ts(data.df[selection,c("RET1","RET2","RET3","RET4","RET5")]),data=ts(data.df[selection,-1]))
summary(fit2)
The results of 1) and 2) are completely different. Does anybody have an explanation for this?
The depen...
2005 Nov 21
1
arima prediction
x<-c(-1.873....,-0.121) # 23 numerics;
x.arma12 <- armaFit(x ~ arma(1,2))
#estimates y[t]= -0.11465 - 0.23767 y[t-1] - 0.14230 e[t-1] -0.85770 e[t-2] + e[t];
# ? how to predict 46 steps ahead based on 23 data points?
# the following doesn't work since n is in armaSim rather than armaFit;
predict(x.arima12, n.ahead=46)
# Thanks
-...
2005 Oct 12
1
arima with R
Hi,
I'm using R for some arima models. In the past I used for arima models Rats and Tsp. Using the R arima function, I get only the statistics sigma^2 and log likelihood; with Rats and Tsp it is possible to obtain more statistics, such as R, R square, Durbin Watson, standard error, etc.
Is it possible using R to have the statistics mentioned?
My best regards,