On 23/06/2009, at 11:38 AM, m.gha...@yahoo.fr wrote:
Hi,
I'm a beginner using R and I'm modeling a time series with ARIMA.
I'm looking for a way to determine the p-values of the coefficients
of my model.
Does ARIMA function return these values? or is there a way to
determine them easily?
The latter. The arima() function (note the *lower case* letters; R
is case sensitive)
returns all the info needed to calculate the p-values.
Here's a wee function that wraps it all up:
cwp <- function (object){
#
# cwp <--> ``coefficients with p-values''
#
coef <- coef(object)
if (length(coef) > 0) {
mask <- object$mask
sdev <- sqrt(diag(vcov(object)))
t.rat <- rep(NA, length(mask))
t.rat[mask] <- coef[mask]/sdev
pt <- 2 * pnorm(-abs(t.rat))
setmp <- rep(NA, length(mask))
setmp[mask] <- sdev
sum <- rbind(coef, setmp, t.rat, pt)
dimnames(sum) <- list(c("coef", "s.e.", "t ratio", "p-value"),
names(coef))
return(sum)
} else return(NA)
}
Note that the ``mask'' component of the value returned by arima does
not get
a mention in the help. The mask is TRUE where the parameter is being
estimated
and FALSE where the parameter has been fixed to a predetermined value
(using the
``fixed'' argument of arima().
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