Hi all,
I am trying to fit an AR(p) model to my variable res
ar=ar(res, method="yule-walker")
The output is :
Order selected 0 sigma^2 estimated as 5.87e-06
Does this mean that the optimum value of p is 0?
But when I go for summary(ar),
I get the following:
order 1 -none- numeric
ar 0 -none- numeric
var.pred 1 -none- numeric
x.mean 1 -none- numeric
aic 13 -none- numeric
n.used 1 -none- numeric
order.max 1 -none- numeric
partialacf 12 -none- numeric
resid 17 -none- numeric
method 1 -none- character
series 1 -none- character
frequency 1 -none- numeric
call 2 -none- call
The confusion is : in the 1st line, order=1 is being shown, and ar is being
shown as 0 in the 2nd line.
This means that the variable res is AR with order 1 , but coefficient of
the lag variable is 0. I am confused!
In this context, how do I interpret the initial output which said "order
selected 0".
Any help is appreciated.
Thanks,
Preetam
--
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year, Room No. N-114
Statistics Division, C.V.Raman
Hall
Indian Statistical Institute, B.H.O.S.
Kolkata.
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