2 messages · Paulino Perez Rodriguez, Brian Ripley
Why the standadard errors of the coefficientes of the arma models fited by using the arima procedure in the stats package doesnt coincide with that of S+, minitab or SAS?
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Why the standadard errors of the coefficientes of the arma models fited by using the arima procedure in the stats package doesnt coincide with that of S+, minitab or SAS?
Possibly because R is using superior methodology (full ML fitting).
Note that the help page says:
The results are likely to be different from S-PLUS's 'arima.mle',
which computes a conditional likelihood and does not include a
mean in the model. Further, the convention used by 'arima.mle'
reverses the signs of the MA coefficients.
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