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st: arima, t-stat, test give inconsistent results


From   "Richard Boylan" <rtboylan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: arima, t-stat, test give inconsistent results
Date   Wed, 13 Sep 2006 16:43:59 -0500

I get t-stats of zero for the MA coefficients, but if I do a joint
test, they are highly significant.

That does not seem right to me at all.

I am including the data with this email. Given this data:

arima y, arima(2,1,2)

ARIMA regression

Sample:  2 to 233                               Number of obs      =       232
                                               Wald chi2(4)       =    645.52
Log likelihood = -409.4094                      Prob > chi2        =    0.0000

------------------------------
------------------------------------------------
            |                 OPG
        D.y |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
y            |
      _cons |   .7414199   .1078346     6.88   0.000     .5300681    .9527718
-------------+----------------------------------------------------------------
ARMA         |
         ar |
        L1. |   .2857905   .0498606     5.73   0.000     .1880654    .3835155
        L2. |  -.8643362   .0507385   -17.04   0.000    -.9637818   -.7648907
         ma |
        L1. |  -.2812952   182.0783    -0.00   0.999    -357.1481    356.5856
        L2. |   .9999997   1294.639     0.00   0.999    -2536.445    2538.445
-------------+----------------------------------------------------------------
     /sigma |   1.399279   905.7593     0.00   0.999    -1773.856    1776.655
------------------------------------------------------------------------------

. test L.ma L2.ma


( 1)  [ARMA]L.ma = 0
( 2)  [ARMA]L2.ma = 0

          chi2(  2) =   77.40
        Prob > chi2 =    0.0000

Attachment: arima.dta
Description: Binary data




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