I get t-stats of zero for the MA coefficients, but if I do a joint
test, they are highly significant.
That does not seem right to me at all.
I am including the data with this email. Given this data:
arima y, arima(2,1,2)
ARIMA regression
Sample: 2 to 233 Number of obs = 232
Wald chi2(4) = 645.52
Log likelihood = -409.4094 Prob > chi2 = 0.0000
------------------------------
------------------------------------------------
| OPG
D.y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y |
_cons | .7414199 .1078346 6.88 0.000 .5300681 .9527718
-------------+----------------------------------------------------------------
ARMA |
ar |
L1. | .2857905 .0498606 5.73 0.000 .1880654 .3835155
L2. | -.8643362 .0507385 -17.04 0.000 -.9637818 -.7648907
ma |
L1. | -.2812952 182.0783 -0.00 0.999 -357.1481 356.5856
L2. | .9999997 1294.639 0.00 0.999 -2536.445 2538.445
-------------+----------------------------------------------------------------
/sigma | 1.399279 905.7593 0.00 0.999 -1773.856 1776.655
------------------------------------------------------------------------------
. test L.ma L2.ma
( 1) [ARMA]L.ma = 0
( 2) [ARMA]L2.ma = 0
chi2( 2) = 77.40
Prob > chi2 = 0.0000
Attachment:
arima.dta
Description: Binary data
