calcSSE_Acoef: Sum of squared errors (SSE) between coefficients of two VARs

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Description

Compute sum of squared errors of coefficients of lagged endogenous variables (Acoef) of two VAR models.

Usage

calcSSE_Acoef(Acoef1, Acoef2)

Arguments

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).

Details

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.

Value

SSE value.

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim1 <- VARshrink(y, p = 2, type = "const", method = "fbayes")
Acoef1 <- Acoef_sh(estim1)
estim2 <- VARshrink(y, p = 2, type = "const", method = "ridge")
Acoef2 <- Acoef_sh(estim2)
calcSSE_Acoef(Acoef1, Acoef2)

VARshrink documentation built on Oct. 9, 2019, 5:06 p.m.