Hi, I'm using the function arima() from the ts package. when the function gives me the output I can see the s.e. of the coefficients. However I cannot find a way to collect them in a object estimate<-arima(x, order=c(1,0,1)) estimate$se does not work in fact str(estimate) does not contain $se. How is it possible? The function compute and print that value but it is not the resulting object? Thank you Sabrina -- View this message in context: http://r.789695.n4.nabble.com/s-e-of-arima-tp2275280p2275280.html Sent from the R help mailing list archive at Nabble.com.
On 2010-07-01 8:55, speretti wrote:> > Hi, > > I'm using the function arima() from the ts package. > when the function gives me the output I can see the s.e. of the > coefficients. > However I cannot find a way to collect them in a object > > estimate<-arima(x, order=c(1,0,1)) > estimate$se does not work > > in fact str(estimate) does not contain $se. > How is it possible? The function compute and print that value but it is not > the resulting object?Assuming that you mean arima() in package *stats*, try this: se <- sqrt(diag(vcov(estimate))) The help page does tell you that component var.coef is the "estimated variance matrix of the coefficients". If you're talking about some other arima() function, then I have no idea. -Peter Ehlers> > Thank you > > Sabrina
Hi Sabrina, As I know there is no function arima in the "tseries" package. There is only arma. Probably, U just run arima from the "stats" package. For both of them vcov is the option to get s.e. for the coefficients. hth, alex -- View this message in context: http://r.789695.n4.nabble.com/s-e-of-arima-tp2275282p2275943.html Sent from the R help mailing list archive at Nabble.com.