[R] How to get the t-stat for arima()?

[Yuan, Rebecca]

Hello Rui,

Thanks very much!

This works!

Cheers,

Rebecca

-----Original Message-----
From: Rui Barradas [mailto:ruipbarradas at sapo.pt] 
Sent: Tuesday, March 19, 2013 6:26 PM
To: Yuan, Rebecca
Cc: R help
Subject: Re: [R] How to get the t-stat for arima()?

Hello,

Sorry for the error, the sqrt(n - 1) is wrong. Delete it:

t.stat <- coef(fit)/se


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
>>
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>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

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