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I am trying to create a set of all possible models for 1 variable using 10 predictors.

I know how to to this for the LM model, but is there a way how to create it for ARIMA models?

Or would it be OK to take fitted values and add them to lm model?

Thank you!

Edit: I have created a list of all combinations of predictors and I made benchmark ARIMA model, into which I want to add external variables- Comp.1 : Comp.10 They are stored in a list, and look like:

    $`1`
    prod.index.rnd ~ prod.index.arima.fitted + Comp.1 + Comp.2 + Comp.3 + Comp.4 + Comp.5 + Comp.6 + Comp.7
    <environment: 0x0000000009122710>
    $`2`
    prod.index.rnd ~ prod.index.arima.fitted + Comp.2 + Comp.3 + Comp.4 + Comp.5 + Comp.6 + Comp.7
    <environment: 0x0000000009124548>

For example, It should look like:

Predicted variable is a time series of insdustrial production, named "prod.index.rnd"

models I would like to create should look like:

 arima(prod.index.rnd, xreg = Comp.1 + Comp.2 + Comp.3 + Comp.4 + Comp.5 + Comp.6 + Comp.7)
 arima(prod.index.rnd, xreg = Comp.1 + Comp.2 + Comp.3 + Comp.4 + Comp.5)
 arima(prod.index.rnd, xreg = Comp.1 + Comp.2)

and simmilar for all other combinations

I have tried to use 

   substring(all.arts.entertainment.models.list[5], 44)

Which returns

   [1] "Comp.1 + Comp.2 + Comp.4 + Comp.5 + Comp.6 + Comp.7"

Of class charater and therefore cannot be used as xreg input.

What is the best way to get this result so I can use it as the xreg argument?

Thanks!

user3577904
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  • All possible ARIMA models in which range? Do you need an ARIMA model with exogeneous variables? Please describe more clearly what you need – DatamineR Mar 10 '15 at 19:23
  • Yes, all possible ARIMA models with exogenous variables. I want to see if there is space for exogenous variables to improve prediction of ARIMA model. Currently I have GDP as predicted variable and 8 exogenous variables which I want to use. I would like to construct all possible ARIMA models in the way that all variables and their combinations will be used as in the LM models here: https://ryouready.wordpress.com/2009/02/06/r-calculating-all-possible-linear-regression-models-for-a-given-set-of-predictors/ – user3577904 Mar 11 '15 at 17:50

0 Answers0