0
$\begingroup$

I have time series data $y$. I use ar.ols to fit $y$, but how can I get variance of estimated coefficients in R. By the way, I check the return object ar_model = ar.ols(y) of ar.ols, is ar_model$var.pred estimated variance of residual $\sigma^2$?

Thanks in advance!

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.