This should have been sent to the R-help mailing list, not to me
personally. I am not an expert on this sort of time series modelling
and cannot thereby provide any useful advice. My reply to you was of a
"generic" nature --- when making an enquiry, provide a reproducible
example!!!
I am cc-ing this email to the R-help list, since someone on that list
*may* be able to answer your question. I have (re-) attached the data
sets that you sent to me.
cheers,
Rolf Turner
--
Technical Editor ANZJS
Department of Statistics
University of Auckland
Phone: +64-9-373-7599 ext. 88276
On 24/01/17 04:36, Paul Bernal wrote:
Hello Rolf,
Thank you for your kind reply. I am attaching two datasets, one with the
historical data that I used to train the model, and the other one with
the exogenous variables.
The R code that I used is as follows:
library(forecast)
library(tseries)
library(TSA)
library(stats)
library(stats4)
TrainingDat<-read.csv("Training Data.csv")
ExogVars<-read.csv("ExogenousVariables5.csv")
#The file ExogVars contains 5 columns, one column for each regressor
Model1<-auto.arima(TrainingDat[,5], xreg=ExogVars)
#In Model1 I was able to incorporate xreg without any trouble
#The problem comes when trying to incorporate newxreg
Model2<-auto.arima(ExoVars[1:5])
Error in as.ts(x) : object 'ExoVars' not found
Model2<-auto.arima(ExogVars[1:5])
Error in auto.arima(ExogVars[1:5]) : No suitable ARIMA model found
Model2<-auto.arima(ExogVars[,1])
NewXReg<-forecast(Model2, h=12)
Forec<-forecast(Model1, newxreg=NewXReg)
Error in forecast.Arima(Model1, newxreg = NewXReg) :
No regressors provided
In addition: Warning message:
In forecast.Arima(Model1, newxreg = NewXReg) :
The non-existent newxreg arguments will be ignored.
Forec<-forecast(Model1, newxreg=NewXReg$mean)
Error in forecast.Arima(Model1, newxreg = NewXReg$mean) :
No regressors provided
In addition: Warning message:
In forecast.Arima(Model1, newxreg = NewXReg$mean) :
The non-existent newxreg arguments will be ignored.
I would like to generate the forecasts for all 4 variables included in
the Training set, along with all 5 regressors, but it seems like I can
only chose one training variable at a time, and one regressor at a time.
Please let me know if you can work this out,
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