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I have been looking at several of the timeseries functions in mathematica, however running a process like ARDL, ARMA, GARCH or ARCH you would be able to get a ANOVA table, with its coefficients and p value, you also in most packages would get R and R^2.

I am wondering if there is an easy way to get ANOVA table when running an ARDL model or a ARCH model. I know it is possible with linear model fit, but I am not able to get it when using any other models.

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Yes, there is a way. We will illustrate this using the following example.

data = Table[{3 + i + RandomReal[{-3, 7}], i + RandomReal[{-2, 5}]}, {i, 1, 20}];

model = LinearModelFit[data, x, x]

(* ANOVA table *)
model["ANOVATable"]

$\begin{array}{l|lllll} \text{} & \text{DF} & \text{SS} & \text{MS} & \text{F-Statistic} & \text{P-Value} \\ \hline x & 1 & 585.43 & 585.43 & 55.8679 & \text{6.360782869783599$\grave{ }$*${}^{\wedge}$-7} \\ \text{Error} & 18 & 188.619 & 10.4788 & \text{} & \text{} \\ \text{Total} & 19 & 774.049 & \text{} & \text{} & \text{} \\ \end{array}$

(* Unformatted entries from the table *)
model["ANOVATableEntries"]
{{1, 585.43, 585.43, 55.8679, 6.36078*10^-7}, {18, 188.619, 10.4788}, {19, 774.049}}
(* p-values from the table *)
model["ANOVATablePValues"]
{6.36078*10^-7}
(* response mean divided by the estimated standard deviation *)
model["CoefficientOfVariation"]
0.263479
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Thats great, would you be able to do that with an ARmodel instead of the linear model fit? –  ALEXANDER Sep 19 '13 at 17:39
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