Not clear to me what the OP really wants. Perhaps the seasonal
model is what's required; perhaps an arima(1,0,4) model with
theta_2 and theta_3 constrained to be 0. The latter can be
achieved with
arima(x,order=c(1,0,4),fixed=c(NA,NA,0,0,NA,NA))
Or perhaps it's something else entirely that's wanted ....
cheers,
Rolf Turner
On 14/10/2009, at 7:47 AM, Duncan Murdoch wrote:
On 10/13/2009 2:35 PM, Len Vir wrote:
Hi,
I'm trying to model an ARMA(1,[1,4]),
i.e. I want only lags 1 and 4 of the Moving Average part.
It's the '[1,4]' part that is giving me a problem.
I've tried different arma's and arima's in different packages,
namely:
packages tseries, fArma, FinTS, timeSeries, TSA, Zelig, ds1, forecast
For example, with package FinTS:
( ARIMA(y, order=c(1,0,c(1,4))) )
Error in arima(x = x, order = order, seasonal = seasonal, xreg =
xreg, :
'order' must be a non-negative numeric vector of length 3
Using ARIMA(1,0,1) with a seasonal argument for lag 4
does not get me any further.
What's wrong with
arima(x, order=c(1,0,1), seasonal=list(order=c(0,0,1), period=4))
using stats::arima?
Duncan Murdoch
With package Zelig I got:
( zelig(Diff(lppi,1) ~ one + lag.y(1) + lag.eps(1) + lag.eps(4) ,
model="arima" , data=Q) )
Error in model.frame.default(mf$formula, data) :
invalid type (list) for variable 'lag.eps(1)'
I get basically the same kind of answers with other packages
and with different configurations.
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