How to get the t-stat for arima()?
On 19/03/2013 22:26, Rui Barradas wrote:
Hello, Sorry for the error, the sqrt(n - 1) is wrong. Delete it: t.stat <- coef(fit)/se
Note though that this is a z ratio, not a 't-stat', whatever that is. Its utility is moot: coefficients of ARMA models are constrained, and if there is more than one, quite a long way from independent. You cannot use this for a test statistic nor for a confidence interval. If things are not readily available in R it is always good to pause and reflect if there might be a good reason.
Rui Barradas Em 19-03-2013 21:11, Rui Barradas escreveu:
Hello, Using a dataset in package datasets, n <- length(lh) fit <- arima(lh, order = c(1,0,0)) se <- sqrt(diag(vcov(fit))) sqrt(n - 1)*coef(fit)/se # T stats Hope this helps, Rui Barradas Em 19-03-2013 20:22, Yuan, Rebecca escreveu:
Hello all, fit = arima() and Summary(fit) will give some summary of the fit. However, the t-stats are not shown in the summary. How can I get the t-stats of it? Thanks, Rebecca
Brian D. Ripley, ripley at stats.ox.ac.uk Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/ University of Oxford, Tel: +44 1865 272861 (self) 1 South Parks Road, +44 1865 272866 (PA) Oxford OX1 3TG, UK Fax: +44 1865 272595