[R-SIG-Finance] standard error and p-value for the estimated parameter in AR model

Matthieu Stigler matthieu.stigler at gmail.com
Mon Jun 22 21:23:59 CEST 2009


as you can see:


there is no summary() nor confint() function for class ar :-(

But if you check values returnd by ar:


you see there is: asy.var.coef
so with:


You get standard errors and can compute the corresponding p-values.


FMH a écrit :
> Dear All,
> I used an  AR(1) model to explain the process of the stationary residual and have used an 'ar' command in R. From the results, i tried to extract the standard error and p-value for the estimated parameter, but unfortunately, i never find any way to extract  it from the output. 
> What i did was, i assigned the residuals into the 'residual' object in R and used an 'ar' function as below. 
>> residual <- residuals
>> ar(residual, aic = TRUE,  method = "mle", order.max = 1) 
> Could someone help me to extract the stadard error and the p-value for the estimated parameter, please?
> Thank you
> Fir
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