[R] test for arima coef's significancy

[STOLIAROFF VINCENT]

>Can you explain how you managed to derive a t distribution for this 
>statistic, yet none of the references mentioned in the various help pages 
>contain such a result?

OK, let's say it was a naive and not well thought attempt.
I tried it because I used to work with SAS and with the proc ARIMA, I think
I was able to get a pvalue for significancy test for each coefficient. I
have seen in one of your previous mail on the help mailing list that I could
use the wald test or a likelyhood ratio test for the global significancy of
the coef but nothing about each coef significancy

>Could you also explain why a one-sided p-value is appropriate, and how the 
>bounded space containing the coefficients is not relevant, nor are 
>missing values in the series?

Do you mean it is sufficient to check if zero belongs to the confidence
interval centered on the coef value?

>It's hard for the R-developers to write a function to compute something we 
>do not know how to find theoretically, so please share your exceptional 
>insights with us.

I'll do my best for the next contribution.


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