Man pages for VARshrink
Shrinkage Estimation Methods for Vector Autoregressive Models
| Acoef_sh | Coefficient matrices of the lagged endogenous variables |
| Bcoef_sh | Coefficient matrix of an estimated VAR(p) |
| calcSSE_Acoef | Sum of squared errors (SSE) between coefficients of two VARs |
| causality_sh | Causality Analysis |
| convPsi2varresult | Convert format for VAR coefficients from Psi to varresult |
| createVARCoefs_ltriangular | Create coefficients of a VAR model |
| irf.varshrinkest | Impulse response function |
| lm_full_Bayes_SR | Full Bayesian Shrinkage Estimation Method for Multivariate... |
| lm_multiv_ridge | Multivariate Ridge Regression |
| lm_semi_Bayes_PCV | Semiparametric Bayesian Shrinkage Estimation Method for... |
| lm_ShVAR_KCV | K-fold Cross Validation for Selection of Shrinkage Parameters... |
| logLik.varshrinkest | Log-likelihood method for class "varshrinkest" |
| Phi.varshrinkest | Coefficient matrices of the MA represention |
| print.varshrinkest | Print method for class "varshrinkest" |
| print.varshsum | Print method for class "varshsum" |
| restrict_sh | Restricted VAR |
| roots_sh | Eigenvalues of the companion coefficient matrix of a VAR(p) |
| serial.test_sh | Test for serially correlated errors |
| shrinkVARcoef | Semiparametric Bayesian Shrinkage Estimator for Multivariate... |
| simVARmodel | Generate multivariate time series data using the given VAR... |
| stability_sh | Structural stability of a VAR(p) |
| summary.shrinklm | Summarizing shrinkage estimates of an AR model |
| summary.varshrinkest | Summary method for an object of class "varshrinkest", VAR... |
| VARshrink | Shrinkage estimation of VAR parameters |
