summary.FCVAR_ranks: Summarize Results of Tests for Cointegrating Rank

In FCVAR: Estimation and Inference for the Fractionally Cointegrated VAR

Summarize Results of Tests for Cointegrating Rank

Description

summary.FCVAR_ranks prints the table of statistics from the output of FCVARrankTests. FCVARrankTests performs a sequence of likelihood ratio tests for cointegrating rank.

Usage

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

Arguments

object	An S3 object of type FCVAR_ranks containing the results from repeated estimation of the FCVAR model with different cointegrating ranks. It is the output of FCVARrankTests.
...	additional arguments affecting the summary produced.

See Also

FCVARoptions to set default estimation options. FCVARestn is called repeatedly within this function for each candidate cointegrating rank. summary.FCVAR_ranks prints a summary of the output of FCVARrankTests to screen.

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

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")]
rankTestStats <- FCVARrankTests(x, k = 2, opt)
summary(object = rankTestStats)

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