From: Spencer Graves <spencer.graves_at_pdf.com>

Date: Sat 24 Jun 2006 - 14:12:13 EST

<snip>

*>
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> Probably because I used it, found a mention of various extraction functions

*> including coef(), and could not find a way to access "Pr(>|t|)" using
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*> coef(). Nor have I had luck with
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*> help.search("summary.garch", package="tseries")
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*>
*

*> Possibly also because I have not yet figured out the difference between
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*> S4 and S3 methods, but since the result of my help.search call displayed S3
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*> functions I don't see how knowing this difference would have helped.
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*>
*

*>
*

> Given Arun Kumar Saha's question...

*>
*

*> > > Now I want to store the value of Pr(>|t|) for coefficient a0, a1,
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*> > > and b1, and also values of these coefficients, so that I can use
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*> > > them in future separately. I know that I can do it for coefficients
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*> > > by using the command:
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*> > > coef(garch1)["a0"] etc, but not for Pr(>|t|). Can anyone please
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*> > > tell me how to do this?
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*>
*

*> ... I don't see how coef() helps because I have yet to figure out how
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*> to use coef() (or any other accessor) to find " Std. Error" of the
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*> coefficient, much less "Pr(>|t|)". summary.garch seems to have only a
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*> print method, with no accessors at all. Can you offer a solution?
*

>

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Sat Jun 24 14:30:20 2006

Date: Sat 24 Jun 2006 - 14:12:13 EST

I'll outline here how you can solve this kind of problem, using the first example in the 'garch' help page:

library(tseries)

n <- 1100 a <- c(0.1, 0.5, 0.2) # ARCH(2) coefficients e <- rnorm(n) x <- double(n) x[1:2] <- rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3]))) for(i in 3:n) # Generate ARCH(2) process { x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2) } x <- ts(x[101:1100]) x.arch <- garch(x, order = c(0,2)) # Fit ARCH(2)(sum.arch <- summary(x.arch))

<snip>

Estimate Std. Error t value Pr(>|t|) a0 0.09887 0.01013 9.764 < 2e-16 *** a1 0.43104 0.05276 8.170 2.22e-16 *** a2 0.31261 0.05844 5.350 8.82e-08 ***<snip>

Then I tried 'str(sum.arch)'. This told me it is a list with 6 components, and the one I want is named 'coef'. This led me to examine 'sum.arch$coef', which includes the desired numbers. Moreover, 'class(sum.arch$coef)' told me this is a 'matrix'. This information suggests that the following might be what you requested:

sum.arch$coef[, "Pr(>|t|)"]

a0 a1 a2

0.000000e+00 2.220446e-16 8.815239e-08

Hope this helps. Spencer Graves

Jeff Newmiller wrote:

> Prof Brian Ripley wrote:

>> Why do you think >> >>> help.search("garch-methods", package="tseries") >> finds accessor functions? That is notation for S4 methods, and "garch" >> is an S3 class so there will be none. Here there _is_ an accessor, >> coef(), and you can find that there is by

> Probably because I used it, found a mention of various extraction functions

>>> methods(class="garch") >> [1] coef.garch* fitted.garch* logLik.garch* plot.garch* >> [5] predict.garch* print.garch* residuals.garch* summary.garch* >> >> Non-visible functions are asterisked >> >> Note though that inherited methods might be relevant too (e.g. default >> methods) and indeed it seems that here the default method for coef would >> work just as well.

> Given Arun Kumar Saha's question...

>

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