On Wed, 3 Nov 2010, h0453...@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
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