See last line on every message to r-help and note the reproducible part. One problem may be that your auto.arima call has no xreg yet your prediction has newxreg.
On Fri, Jan 23, 2009 at 8:48 AM, diego Diego <dhab...@gmail.com> wrote: > Hello everybody! > I have an ARIMA model for a time series. This model was obtained through an > auto.arima function. The resulting model is a ARIMA(2,1,4)(2,0,1)[12] with > drift (my time series has monthly data). Then I perform a 12-step ahead > forecast to the cited model... so far so good... but when I look the plot of > my forecast I see that the result is really far from the behavior of my time > series... in fact, there is a considerable gar between the last value of > the series and the first forecast. My guess is that I'm doing something > wrong. Here is what I do: > >>mods<-auto.arima(x[[1]],start.p=0,start.q=0,start.P=0,start.Q=0,stepwise=TRUE,stationary=FALSE) >>ARIMA(2,1,4)(2,0,1)[12] with drift # the output > > Call: auto.arima(x = x[[k]], start.p = 0, start.q = 0, start.P = 0, start.Q > = 0, stationary = FALSE, stepwise = TRUE) > > Coefficients: > ar1 ar2 ma1 ma2 ma3 ma4 sar1 > 0.0639 -0.7820 -1.2103 1.2236 -0.9511 0.2357 1.0031 > s.e. 0.0686 0.0582 0.1098 0.1558 0.1568 0.1007 0.0716 > sar2 sma1 drift > -0.0711 -0.8963 -780.9456 > s.e. 0.0747 0.0608 403.2112 > > sigma^2 estimated as 10202381: log likelihood = -1100.61 > AIC = 2206.69 AICc = 2209.23 BIC = 2236.98 > > >for<-forecast(mods,h=12,newxreg=(1+length(x[[1]])):(length(x[[1]]+12))) > #forecast > > and as I said before, the results dont seem to be right. In fact, when I > restrict the search of the model on the auto.arima function to stationary > models only an I perform the forecast (without the newxreg-option) the > results are very much acceptable. > > ANY HELP OR COMMENTARY I VERY WELCOMED!!!!!! thanks in advance! > > > Diego. > > [[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. > ______________________________________________ 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.
