Q: What is the right way to set the frequency in an xts object given a set of dates? Ideally, auto.arima() called on this xts object would yield the same results as when called on an analogous ts object.
Detail: I was surprised to find different results from an auto.arima() fit based on whether I passed a ts or xts object. I found the difference had to do with the frequency (which, in the case of xts, was being reset to 1 despite my setting it to 12 in the construction). Below, setting up sim_ts_12 and estimating the intended model was relatively straightforward. But in my initial attempts at working with xts (sim_xts and sim_xts_not) I estimated the wrong model. I finally estimated the right model using xts (sim_xts_12, sim_ts2xts), but both of those approaches seem wrong in some way. I'd expect working with xts to be simpler than ts. But that doesn't seem to be the case here. Am I missing something?
sim <- scan(file="./sim.dat")
sim_ts_12 <- ts(sim, start=c(2016,1), frequency=12)
sim_ts2xts_12 <- as.xts(sim_ts_12)
sim_xts <- xts(x=sim, order.by=seq.Date(from=as.Date("2016-01-01"), by="month", length.out = length(sim)))
sim_xts_12_not <- xts(x=sim, order.by=seq.Date(from=as.Date("2016-01-01"), by="month", length.out = length(sim)), frequency=12)
sim_xts_12 <- sim_xts
attr(sim_xts_12, 'frequency') <- 12
auto.arima(sim_ts_12) # ARIMA(0,1,1)(0,1,0)[12]
auto.arima(sim_ts2xts_12) # ARIMA(0,1,1)(0,1,0)[12]
auto.arima(sim_xts) # ARIMA(0,1,1) with drift
auto.arima(sim_xts_12_not) # ARIMA(0,1,1) with drift
auto.arima(sim_xts_12) # ARIMA(0,1,1)(0,1,0)[12]
txt <- "0.04767597 0.07217235 0.03954613 0.03698637 0.04283896
0.03534811 0.04198519 0.04129214 0.04576022 0.03966146
0.03656881 0.04396736 0.04459328 0.07062732 0.03477407
0.0340033 0.039136 0.0347761 0.03819997 0.03634627
0.03966617 0.03455635 0.03009606 0.03927688 0.03959629
0.06554147 0.02908742 0.02619443 0.03179742 0.02468108
0.02612955 0.02300656 0.02988827 0.01878513 0.01399028
0.02601922 0.0250159 0.05610426 0.01537538 0.01231939
0.01330564 0.008744173 0.01296571 0.005741129 0.01674992
0.003210812 -0.007936987 0.01018758"
sim.dat <- scan(text=txt, what=numeric() )
UPDATE, NOT A DUPLICATE: The possible duplicate question/answer does not address the best practice method for handling frequency in an xts. The question does not ask for it, nor does the answer address it. The answer handles ts.
