p value for ARIMA estimate
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HI!
I would like to compute the p value for prediction values computed by ARIMA estimate procedure.
So anyone have the idea to convert the t statistic from estimate output to p-value?
ARIMA(1,0,1) Model Seasonally Integrated:
------------------------------------------
Conditional Probability Distribution: Gaussian
Standard t
Parameter Value Error Statistic
----------- ----------- ------------ -----------
Constant -0.00203829 0.0288986 -0.0705324
AR{1} 0.955181 0.00521754 183.071
MA{1} 0.075271 0.0133443 5.64067
Variance 2.07345 0.0277501 74.7186
Also, How can I conduct the Modified Box-Pierce (Ljung-Box) Chi-Square statistic for the fitted model?
3 个评论
alda
2014-2-12
HI! Did you find any solution about calculating the p-value, because I have the same problem. Thanks in advance
Bruno
2014-3-31
me too...
Abdoulaye Camara
2020-4-27
Hello, I have a same problem for my matlab version
回答（1 个）
Karoline Qasem
2018-5-4
0 个投票
I think you can find the answer here: https://www.mathworks.com/help/econ/check-model-for-airline-passenger-data.html
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2020-4-27
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