summary.FCVAR_lags: Summarize Statistics from Lag Order Selection In FCVAR: Estimation and Inference for the Fractionally Cointegrated VAR

 summary.FCVAR_lags R Documentation

Summarize Statistics from Lag Order Selection

Description

`summary.FCVAR_lags` prints a summary of the table of statistics from the output of `FCVARlagSelect`. `FCVARlagSelect` takes a matrix of variables and performs lag selection on it by using the likelihood ratio test.

Usage

```## S3 method for class 'FCVAR_lags'
summary(object, ...)
```

Arguments

 `object` An S3 object of type `FCVAR_lags` containing the results from repeated estimation of the FCVAR model with different orders of the autoregressive lag length. It is the output of `FCVARlagSelect`. `...` additional arguments affecting the summary produced.

`FCVARoptions` to set default estimation options. `FCVARestn` is called repeatedly within this function for each candidate lag order. `summary.FCVAR_lags` prints a summary of the output of `FCVARlagSelect` to screen.

Other FCVAR specification functions: `FCVARbootRank()`, `FCVARlagSelect()`, `FCVARrankTests()`, `summary.FCVAR_ranks()`

Examples

```
opt <- FCVARoptions()
opt\$gridSearch   <- 0 # Disable grid search in optimization.
opt\$dbMin        <- c(0.01, 0.01) # Set lower bound for d,b.
opt\$dbMax        <- c(2.00, 2.00) # Set upper bound for d,b.
opt\$constrained  <- 0 # Impose restriction dbMax >= d >= b >= dbMin ? 1 <- yes, 0 <- no.
x <- votingJNP2014[, c("lib", "ir_can", "un_can")]
FCVAR_lag_1 <- FCVARlagSelect(x, kmax = 3, r = 3, order = 12, opt)
summary(object = FCVAR_lag_1)

```

FCVAR documentation built on May 5, 2022, 9:06 a.m.