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

In VARshrink: Shrinkage Estimation Methods for Vector Autoregressive Models

Description

Extend summary.varest() to class 'varshrinest' to incorporate adapted methods for new classes: summary.shrinklm(), logLik.varshrinkest(), roots.varshrinkest().

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

Code is modified to avoid call to data matrices ($y, $datamat) and to use effective numbers of parameters of shrinkage estimates.

Output includes the scale matrix, Sigma, and degree-of-freedom, dof, for multivariate t-distribution for residuals.

Examples

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

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