Table A4 Estimation of ARIMA model... | Emerald Publishing

Table A4

Estimation of ARIMA model

Variable	Coefficient	Std. Error	t-statistic	Prob
C	−0.031125	0.007696	−4.044042	0.0037
AR(1)	1.519400	0.137896	11.01843	0.0000
AR(2)	−0.936168	0.059890	−15.63139	0.0000
MA(1)	−1.000000	39728.31	−2.52E-05	1.0000
SIGMASQ	0.000442	0.403940	0.001093	0.9992

Variable	Coefficient	Std. Error	t-statistic	Prob
C	−0.031125	0.007696	−4.044042	0.0037
AR(1)	1.519400	0.137896	11.01843	0.0000
AR(2)	−0.936168	0.059890	−15.63139	0.0000
MA(1)	−1.000000	39728.31	−2.52E-05	1.0000
SIGMASQ	0.000442	0.403940	0.001093	0.9992

R-squared	0.850452	Mean dependent var	−0.018404
Adjusted R-squared	0.775678	S.D. dependent var	0.056562
S.E. of regression	0.026789	Akaike info criterion	−3.664240
Sum squared resid	0.005741	Schwarz criterion	−3.446952
Log likelihood	28.81756	Hannan-Quinn criterion	−3.708902
F-statistic	11.37363	Durbin–Watson stat	1.064574
Prob(F-statistic)	0.002202