Confidence Intervals for Fracdiff Model Parameters
Computes (Wald) confidence intervals for one or more parameters in a
fitted fracdiff model, see fracdiff.
## S3 method for class 'fracdiff' confint(object, parm, level = 0.95, ...)
object |
an object of class |
parm |
a specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered. |
level |
the confidence level required. |
... |
additional argument(s) for methods. |
A matrix (or vector) with columns giving lower and upper confidence limits for each parameter. These will be labelled as (1-level)/2 and 1 - (1-level)/2 in % (by default 2.5% and 97.5%).
As these confidence intervals use the standard errors returned by
fracdiff() (which are based on finite difference
approximations to the Hessian) they may end up being much too narrow,
see the example in fracdiff.var.
Spencer Graves posted the initial version to R-help.
the generic confint; fracdiff model
fitting, notably fracdiff.var() for re-estimating the
variance-covariance matrix on which confint() builds entirely.
set.seed(101) ts2 <- fracdiff.sim(5000, ar = .2, ma = -.4, d = .3) mFD <- fracdiff( ts2$series, nar = length(ts2$ar), nma = length(ts2$ma)) coef(mFD) confint(mFD)
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