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Class: regARIMA

Display estimation results for regression models with ARIMA errors

Syntax

print(Mdl,ParamCov)

Description

print(Mdl,ParamCov) displays parameter estimates, standard errors, and t statistics for the fitted regression model with ARIMA time series errors Mdl.

Input Arguments

Mdl

Regression with ARIMA errors model, as created by regARIMA or estimate.

ParamCov

Estimation error variance-covariance, specified as a matrix.

ParamCov is a square matrix with a row and column for each parameter known to the optimizer that estimate uses to fit Mdl. Known parameters include all parameters estimate estimates. If you specify a parameter as fixed during estimation, then it is also a known parameter and the rows and columns associated with it contain 0s.

print omits coefficients of lag operator polynomials at lags excluded from Mdl.

print orders the parameters in ParamCov exactly as follows:

  • Intercept

  • Nonzero AR coefficients at positive lags

  • Nonzero SAR coefficients at positive lags

  • Nonzero MA coefficients at positive lags

  • Nonzero SMA coefficients at positive lags

  • Regression coefficients (when Mdl contains them)

  • Variance

  • Degrees of freedom for the t-distribution

Examples

expand all

Print Estimation Results of a Regression Model with ARIMA Errors Fit

Regress GDP onto CPI using a regression model with ARMA(1,1) errors, and print the results.

Load the US Macroeconomic data set and preprocess the data.

load Data_USEconModel;
logGDP = log(Dataset.GDP);
dlogGDP = diff(logGDP);
dCPI = diff(Dataset.CPIAUCSL);

Fit the model to the data.

ToEstMdl = regARIMA('ARLags',1,'MALags',1);
[EstMdl,EstParamCov] = estimate(ToEstMdl,dlogGDP,'X',...
    dCPI,'Display','off');

Print the estimates.

print(EstMdl,EstParamCov)
    Regression with ARIMA(1,0,1) Error Model:
    ------------------------------------------
    Conditional Probability Distribution: Gaussian

                                  Standard          t     
     Parameter       Value          Error       Statistic 
    -----------   -----------   ------------   -----------
    Intercept       0.014776    0.00146271        10.1018
        AR{1}       0.605274     0.0892903        6.77872
        MA{1}      -0.161651       0.10956       -1.47546
        Beta1     0.00204403   0.000706162        2.89456
     Variance    9.35782e-05   6.03135e-06        15.5153

See Also

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