On Nov 25, 2010, at 10:50 AM, Samuel Le wrote:
Dear all,
I am fitting a time series using the following command:
Ts.arima<-arima(x,c(2,1,2)) where x is a time series.
What the function returns is perfectly fine but I was wondering if I
could access to the t-stat of the coefficients I got from the arima
function.
The typical approach is to see if there is a coef function and a vcov
function for your fit and to see if this gives sensible results:
coef(fit)/sqrt(vcov(diag(fit)))
(I looked at the docs and those functions are available for arima
objects. However, it's still your responsibility to properly interpret
such output. I have no substantial experience with time series
analysis and as a general rule worry when the package authors choose
not to provide a particular statistic. )
David Winsemius, MD
West Hartford, CT
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