[R] p-values for ARIMA coefficients

Clifford Long gnolffilc at gmail.com
Tue Jun 23 04:20:42 CEST 2009


Hi Myriam,

I'll take a stab at it, but can't offer elegance in the solution such
as the more experienced R folks might deliver.

I believe that the ARIMA function provides both point estimates and
their standard errors for the coefficients.  You can use these as you
might a mean and standard error in a one-sample t- or z-test with the
null hypothesis being that the coefficient value is 'zero'.  If the
interval estimate of the coefficient doesn't span 'zero', then you
reject the null hypothesis at whatever level of Type 1 error you
chose.  The R set of distribution functions might be useful for this.

Having offered that as a possible interim solution, you'd be well
served to see what other advice more experienced R users might offer.

Regards,

Cliff



On Mon, Jun 22, 2009 at 6:38 PM, <m.gharbi at 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?
>
> Thanks for your answer
> Myriam
>
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