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2008 Jan 14
0
question about order selection of ar
Hi, I have an AR(1) series, so I thought that the order of the series should be 1. A simple lm fit with one period lag predicts the series pretty well. But when I tried ar, I got different orders: ar.mle selected order 6, ar.burgselected order 14, and ar.yw selected order 6. So I am wondering maybe I miss understood what "order" means in R? Does anyone know why would ar select order 6 or even 14 for an AR(1) series? Thanks, -- Tom [[alternative HTML version deleted]]