Confidence Intervals for Fracdiff Model Parameters

Computes (Wald) confidence intervals for one or more parameters in a fitted fracdiff model, see fracdiff.

Usage

# S3 method for class 'fracdiff'
confint(object, parm, level = 0.95, ...)

Warning

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.

Arguments

object

an object of class fracdiff, typically result of fracdiff(..).

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.

Value

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%).

Author

Spencer Graves posted the initial version to R-help.

See also

the generic confint; fracdiff model fitting, notably fracdiff.var() for re-estimating the variance-covariance matrix on which confint() builds entirely.

Examples

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)
#>          d         ar         ma 
#>  0.3051313  0.1911422 -0.3685095 
confint(mFD)
#>         2.5 %     97.5 %
#> d   0.2746788  0.3355839
#> ar  0.1228136  0.2594707
#> ma -0.4195143 -0.3175048