Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

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   Sun, 17 Sep 2006 20:17:03 -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 inlcuding the regression output.

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
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index