[R] How to extract vectors from an arima() object and into a data frame?
zerfetzen
zerfetzen at yahoo.com
Fri Apr 18 02:12:47 CEST 2008
This has been solved, and I'm thankful for the help. The solution is:
z = MyModel$coef/diag(MyModel$var.coef)
...and from there I will use a for loop and pnorm to get the p-values.
Thanks again!
Byron
zerfetzen wrote:
>
> 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 -abs_z to
> abs_z
>
> How do I extract the coefficients and standard errors out of the MyModel
> object, and 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:
>
>> MyParameters$coef <- coef(MyModel)
>
> But when I try...
>
>> MyParameters <- edit(MyParameters)
>
> ...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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