hi matthew: maybe someone can say more including yourself but one doesn't have independence of error term<br />and regressor in an AR so I'm not certain that the t-test in the arima model is valid ? I imagine that hamilton or<br />some other book must talk about the validity of the assumptions but I don't have them in my apt at the moment.<br /><br /><br /><br /><p>On Jun 22, 2009, <strong>Matthieu Stigler</strong> <matthieu.stigler@gmail.com> wrote: </p><div class="replyBody"><blockquote style="border-left: 2px solid #267fdb; margin: 0pt 0pt 0pt 1.8ex; padding-left: 1ex">Hi<br /><br />as you can see:<br /><br />methods(class="ar")<br /><br />there is no summary() nor confint() function for class ar :-(<br /><br />But if you check values returnd by ar:<br /><br />str(ar(lh))<br /><br /><br />you see there is: asy.var.coef<br />so with:<br /><br />sqrt(diag(ar(lh)$asy.var.coef))<br /><br /><br />You get standard errors and can compute the corresponding p-values.<br /><br />Mat<br /><br />FMH a écrit :<br />> Dear All,<br />><br />> 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. <br />><br />> What i did was, i assigned the residuals into the 'residual' object in R and used an 'ar' function as below. <br />><br />> <br />>> residual <- residuals<br />>> ar(residual, aic = TRUE, method = "mle", order.max = 1) <br />>> <br />><br />> Could someone help me to extract the stadard error and the p-value for the estimated parameter, please?<br />><br />> Thank you<br />><br />> Fir<br />><br />><br />> <br />> [[alternative HTML version deleted]]<br />><br />> <br />> ------------------------------------------------------------------------<br />><br />> _______________________________________________<br />> <a href="mailto:R-SIG-Finance@stat.math.ethz.ch" target="_blank" class="parsedEmail">R-SIG-Finance@stat.math.ethz.ch</a> mailing list<br />> <a href="https://stat.ethz.ch/mailman/listinfo/r-sig-finance" target="_blank" class="parsedLink">https://stat.ethz.ch/mailman/listinfo/r-sig-finance</a><br />> -- Subscriber-posting only.<br />> -- If you want to post, subscribe first.<br /><br />_______________________________________________<br /><a href="mailto:R-SIG-Finance@stat.math.ethz.ch" target="_blank" class="parsedEmail">R-SIG-Finance@stat.math.ethz.ch</a> mailing list<br /><a href="https://stat.ethz.ch/mailman/listinfo/r-sig-finance" target="_blank" class="parsedLink">https://stat.ethz.ch/mailman/listinfo/r-sig-finance</a><br />-- Subscriber-posting only.<br />-- If you want to post, subscribe first.<br /></blockquote></div>