Hi John Li, I am Justin Grimmer, I am the one who implemented ARIMA (p,d,q) models for Zelig--I'm really glad to see that you are using the software! I checked out your error message, and I think I found the problem: when working with Zelig, you need to be sure that your data is saved as a data frame-- here is an example: ###just generating some noise fret<- rnorm(1000) library(Zelig) ester<- zelig(Diff(fret, 0)~ lag.y(2) + lag.eps(2) , model='arima', data =fret) ## that should produce the error that you had -- ##now run this line of code ester<- zelig(Diff(fret, 0)~lag.y(2) + lag.eps(2) , model='arima', data= as.data.frame(fret)) which should work just fine. If this fixes your problem, I'll post the solution to the listserve Justin

All, I am new to Zelig. I am trying to build a ARIMA(2,0,2) model for my analysis. The command I used is: ngccret_arima <- zelig(Diff(ngccret, 0)~lag.y(2)+lag.eps(2), model="arima", data=ngccret) I got the error message: Error in eval(parse(text = unlist(strsplit(deparse(mf[[2]][[3]], width.cutoff = 500), : numeric 'envir' arg not of length one Here ngccret is a vector of 2010X1. I searched the mailing-list and did not find anything related postings. Your help will be greatly appreciated. Thank you. -- John Li