S users,
> version
S-PLUS 2000 Professional Edition Release 3 for Microsoft Windows : 2000
When I fit an arima model with regression terms, I would like to test
the significance of these terms. However the following call gives me the
coefficients but not standard errors and tests:
> summary (arima.mle(y, model=list(order=c(1,0,0)), xreg=cbind(1,eff)))
...
Coeffficients for regressor(s): cbind(1, eff)
[1] -0.15789 1.18306
...
Note that gls gives the tests on the regressions terms (slighly
different values for the coefficients, since estimated with a different
method). But for different reasons, I would prefer to stay in the arima
framework.
> summary (gls (y ~ eff, correlation = corAR1())
...
Coefficients:
Value Std.Error t-value p-value
(Intercept) -0.172742 0.1019278 -1.694752 0.0909
eff 1.197824 0.1439301 8.322260 <.0001
...
Any tip would be appreciated.
Olivier
--
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Olivier Renaud mailto:Olivier.Renaud@pse.unige.ch
Faculty of Psychology and Education Tel: +41 22 705 9104
University of Geneva - 40, Bd du Pont d'Arve - CH-1211 Geneva 4
http://www.unige.ch/fapse/PSY/persons/prof-ana/
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