summary.varshrinkest: Summary method for an object of class "varshrinkest", VAR...

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Summary method for an object of class "varshrinkest", VAR parameters estimated by VARshrink()

Description

Extend summary.varest() to the class "varshrinkest" to incorporate adapted methods for the new classes: summary.shrinklm(), logLik.varshrinkest(), roots_sh().

Usage

## S3 method for class 'varshrinkest'
summary(object, equations = NULL, ...)

Arguments

object	An object of class "varshrinkest", usually a result of call to "VARshrink()".
equations	Subset of names of endogenous time series variables to summarize.
...	Currently not used.

Details

The code has been modified to eliminate direct calls to the data matrices ($y, $datamat) and to use the effective numbers of parameters obtained from the shrinkage estimates. The output additionally includes the covariance matrix Sigma and the degrees-of-freedom dof of the multivariate t-distribution for the residuals.

Value

Returns a list with class attribute "varshsum" and "varsum" which contains the following elements: names, logLik, obs, roots, type, call, varresult, covres, corres, Sigma, dof.

Examples

data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
summary(estim)

VARshrink documentation built on Jan. 10, 2026, 1:06 a.m.