Hi Paul, I suggest that you should send us commented, minimal, self-contained, reproducible code.
That means, in essence, developing the simplest possible representation of your problem. In the process of developing the simplest possible representation, you may learn more about the problem. Maybe even solve it. Even if you don't, then you enable us to make a much better contribution, because we can actually try out our suggestions before sending them. With what you sent here, all we can do is speculate. Cheers, Andrew On Wed, May 04, 2011 at 04:33:12PM -0400, Paul Ossenbruggen wrote: > Hi, > > I am attempting to fit a ARMA/GARCH regression model without success. > > ### ARIMA-GARCH model with regressor ### > > ### Time series data: A multivariate data set. > cov.ts.dq = cov.ts[1:4,"dq1"][!is.na(cov.ts[,"dq1"])] > cov.ts.day = ts.intersect(dq = diff(q.ts), day = lag(q.ts, -1)) > > ### The following R scripts work: > (summary(no.day.fitr <- garchFit(dq ~ arma(0,3) + garch(1,1), data = > cov.ts.day))) > (summary(no.day.fitr2 <- garchFit(dq ~ arma(0,3) + garch(1,1), data = > cov.ts.day, > include.mean=FALSE))) > > ### ERROR: I add in the regressor "day". > (summary(no.day.fitr3 <- garchFit(dq ~ day + arma(0,3) + garch(1,1), data = > cov.ts.day, > include.mean=FALSE))) > ### Error in .garchArgsParser(formula = formula, data = data, trace = FALSE) > : > ### object 'formula.mean' not found > > ### ERROR: > day.fitr4 <- garchFit(formula.mean = dq ~ day + arma(0,3),formula.var = > ~garch(1,0), data = cov.ts.day,include.mean = FALSE) > ### Error in garchFit(formula.mean = dq ~ day + arma(0, 3), formula.var = > ~garch(1, : > ### Multivariate data inputs require lhs for the formula. > ### Note: If I remove "day" I obtain the same error message. > > I would greatly appreciate knowing how to overcome this problem. > > Paul > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. -- Andrew Robinson Program Manager, ACERA Department of Mathematics and Statistics Tel: +61-3-8344-6410 University of Melbourne, VIC 3010 Australia (prefer email) http://www.ms.unimelb.edu.au/~andrewpr Fax: +61-3-8344-4599 http://www.acera.unimelb.edu.au/ Forest Analytics with R (Springer, 2011) http://www.ms.unimelb.edu.au/FAwR/ Introduction to Scientific Programming and Simulation using R (CRC, 2009): http://www.ms.unimelb.edu.au/spuRs/ ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
