Conditions signaled by fgls — fgls-conditions • fgls

All warnings raised by the package inherit from class "fgls_warning" and all errors from "fgls_error", so they can be caught or muffled as a group with tryCatch(), withCallingHandlers() or suppressWarnings() (whose classes argument, available since R 4.0.0, filters by class).

Warning classes

fgls_warning_nonstationary: the estimated autoregressive filter has a root on, inside or close to the unit circle.
fgls_warning_collinearity: a matrix that should be positive definite was not numerically so (for example a nearly singular cross-product of the regressors, or a covariance matrix with a negative eigenvalue), and a pseudo-inverse or eigenvalue clipping was used instead. Collinear lag columns dropped from the Durbin regression (lags of the intercept, of a trend or of seasonal dummies) do not signal it: they are recorded in fit$serial$dropped_lags and, for serial-only fits, in the notes of summary.fgls().
fgls_warning_convergence: an iterative routine did not fully converge.
fgls_warning_weight: the estimated weights are extreme.
fgls_warning_sample_size: the sample is small relative to the number of parameters, lags or folds.
fgls_warning_specification: the specification looks unusual (e.g. no intercept, the selected order hits kmax).
fgls_warning_lagged_dependent: a regressor looks like a lag of the dependent variable (also a specification warning).
fgls_warning_experimental: the feature is experimental.

Error classes

fgls_error_input (invalid arguments) and its subclasses fgls_error_missing, fgls_error_time_index, fgls_error_collinearity and fgls_error_insufficient_data.

Examples

# an interior missing value in a time series is an error of class fgls_error_missing
df <- data.frame(y = c(1, 2, NA, 4, 5, 3, 2), x = c(2, 1, 3, 5, 4, 2, 1))
tryCatch(serial_fgls(y ~ x, data = df), fgls_error = function(e) class(e)[1])
#> [1] "fgls_error_missing"

# warnings can be caught by class too
withCallingHandlers(
  serial_fgls(y ~ x - 1, data = simulate_serial(100, seed = 1)),
  fgls_warning_specification = function(w) invokeRestart("muffleWarning")
)$ar_order
#> [1] 1