[R] How to extract vectors from an arima() object and into a data frame?
zerfetzen
zerfetzen at yahoo.com
Fri Apr 18 00:40:14 CEST 2008
This should be very easy, but alas, I'm very new to R. My end goal is to
calculate p-values from arima().
Let's say I just ran this:
> MyModel <- arima(y[1:58], order=c(1,0,0), xreg=MyData[1:58,7:14],
> method="ML")
> MyModel
And I see:
arima(x = y[1:58], order = c(1, 0, 0), xreg = MyData[1:58, 7:14], method =
"ML")
Coefficients:
ar1 intercept x1 x2 x3 x4 x5 x6
0.5812 -52.7725 -0.0270 -6.3467 2.8435 4.3727 -14.9045 -3e-04
s.e. 0.1328 16.6182 0.0212 3.6454 1.5571 0.5641 2.4294 2e-04
x7 x8
2.4094 1.0823
s.e. 0.5134 0.3093
sigma^2 estimated as 1.223: log likelihood = -88.35, aic = 198.71
To calculate a p-value, all I have to do is:
1. Let z = parameter / s.e.
2. Let abs_z = abs(z)
3. Let p = 1 minus the integral of a normal distribution from -z to z
How do I extract the coefficients and standard errors out of the MyModel
object, place them in their own data frame? From there, I'm sure I could
calculate the p-value.
I have found that:
> coef(MyModel)
...shows the coefficients, but I'm unable to get them into a data frame. I
tried:
> parameters$coef <- coef(MyModel)
But when I try...
> parameters <- edit(parameters)
...I don't see what I would expect, a column of coefficients. And I don't
know how to refer to the standard errors. Help? Thanks.
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