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

[Matthieu Stigler]

Hi

as you can see:

methods(class="ar")

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

But if you check values returnd by ar:

str(ar(lh))


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

sqrt(diag(ar(lh)$asy.var.coef))


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

Mat

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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