[R] getting p-values from fitted ARIMA

[Achim Zeileis]

On Wed, 3 Nov 2010, h0453497 at wu.ac.at wrote:

> Hi
>
> I fitted an ARIMA model using the function arima(). The output consists of 
> the fitted coefficients with their standard errors.
>
> However i need information about the significance of the coefficients, like 
> p-values. I hope you can help me on that issue...

If you want to use a standard normal approximation, you can use coeftest() 
from the "lmtest" package. For example:

fit3 <- arima(presidents, c(3, 0, 0))
library("lmtest")
coeftest(fit3)

Whether or not this is a good approximation is a different question, 
though. See also the coments on ?arima wrt the Hessian.

Best,
Z

> ciao
> Stefan
>
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