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getting p-values from fitted ARIMA

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getting p-values from fitted ARIMA

stefan
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

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Re: getting p-values from fitted ARIMA

Jorge I Velez
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
>
> ______________________________________________
> [hidden email] 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]]

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Re: getting p-values from fitted ARIMA

Achim Zeileis-4
In reply to this post by stefan
On Wed, 3 Nov 2010, [hidden email] 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
>
> ______________________________________________
> [hidden email] 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.

______________________________________________
[hidden email] mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
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