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

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

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

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

An 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 Jan. 10, 2026, 1:06 a.m.