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, rip...@stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
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