Dear all
I am running the student S-plus version 8 on Windows XP. I am trying to
figure out why I get such different results with gls and arima.mle
(using first 10 data points for conditioning). They are not even close
which makes me wonder which is right. I also notice very big differences
in results between 0 mean, var 1 standardized regressors as inputs (ie
xreg) and non-strandardized xreg inputs. Also why does fitted.arima
return with the last data missing? That is, I input arima.mle with 46
data points and fitted.arima returns very reasonable looking fitted
values for the first 45 points only? As well, if I fit the regression
manually using the values I input in xreg and the returned reg.coef, I
do not get what fitted.arima returns. This leads me to suspect that
arima.mle transforms xreg inputs before feeding them into the
regression, and returns the regression coefficients for the transformed
xreg. Any insight is appreciated, recommended books, etc.
Thank you, frazzled
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