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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