Hi I fitted an ARIMA model using the function arima(). The output consists of the fitted coefficients with their standard errors. However i need information about the significance of the coefficients, like p-values. I hope you can help me on that issue... ciao Stefan
Hi Stefan, Take a look at https://stat.ethz.ch/pipermail/r-help/2009-June/202173.html HTH, Jorge On Wed, Nov 3, 2010 at 2:50 PM, <> wrote:> Hi > > I fitted an ARIMA model using the function arima(). The output consists of > the fitted coefficients with their standard errors. > > However i need information about the significance of the coefficients, like > p-values. I hope you can help me on that issue... > > ciao > Stefan > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >[[alternative HTML version deleted]]
On Wed, 3 Nov 2010, h0453497 at wu.ac.at wrote:> Hi > > I fitted an ARIMA model using the function arima(). The output consists of > the fitted coefficients with their standard errors. > > However i need information about the significance of the coefficients, like > p-values. I hope you can help me on that issue...If you want to use a standard normal approximation, you can use coeftest() from the "lmtest" package. For example: fit3 <- arima(presidents, c(3, 0, 0)) library("lmtest") coeftest(fit3) Whether or not this is a good approximation is a different question, though. See also the coments on ?arima wrt the Hessian. Best, Z> ciao > Stefan > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.