Description Usage Arguments Details Value Examples
View source: R/calcSSE_Acoef.R
Compute sum of squared errors of coefficients of lagged endogenous variables (Acoef) of two VAR models.
1 | calcSSE_Acoef(Acoef1, Acoef2)
|
Acoef1, Acoef2 |
Each one is a list object with K-by-K coefficient matrices of lagged endogenous variables. See help(Acoef_sh), or, help(Acoef). |
Consider VAR(p) model:
y_t = A_1 y_{t-1} + ... + A_p y_{t-p} + C d_t + e_t.
The SSE of two VAR(p) models is expressed as
sum_{k=1}^p sum_{i=1}^K sum_{j=1}^K ( (A_k)_{ij} - (A_k')_{ij} )^2.
SSE value.
1 2 3 4 5 6 7 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.