Dear Prof. Repley, may I know in details why ignoring intermediate lags are sin? How the statistical properties will be worse than not ignoring them? If I am correct then, ignoring some parameters means we know the population values for them. Therefore in this case, my MSE estimate should be smaller (or, my prediction will be more accurate) isn't it?
Thanks and regards, -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Prof Brian Ripley Sent: 21 September 2011 13:32 To: leighton155 Cc: r-help@r-project.org Subject: Re: [R] ARIMA - Skipping intermediate lags On Tue, 20 Sep 2011, leighton155 wrote: > Hello, > > I am a new R user. I am trying to use the arima command, but I have a > question on intermediate lags. I want to run in R the equivalent > Stata command of ARIMA d.yyy, AR(5) MA(5 7). This would tell the > program I am interested in AR lag 5, MA lag 5, and MA lag 7, all while > skipping the intermediate lags of AR 1-4, and MA 1-4, 6. Is there any > way to do this in R? Thank you. Yes. See the 'fixed' argument on the help page. Note that this is not recommended in general .... > > -- > View this message in context: > http://r.789695.n4.nabble.com/ARIMA-Skipping-intermediate-lags-tp38284 > 49p3828449.html Sent from the R help mailing list archive at > Nabble.com. > > ______________________________________________ > 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. > -- Brian D. Ripley, rip...@stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595 ______________________________________________ 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.
