View source: R/summary.bvarlist.R
summary.bvarlist | R Documentation |
summary method for class "bvarlist"
.
## S3 method for class 'bvarlist'
summary(object, ...)
object |
an object of class |
... |
further arguments passed to or from other methods. |
The log-likelihood for the calculation of the information criteria is obtained by
LL = \frac{1}{R} \sum_{i = 1}^{R} \left( \sum_{t = 1}^{T} -\frac{K}{2} \ln 2\pi - \frac{1}{2} \ln |\Sigma_t^{(i)}| -\frac{1}{2} (u_t^{{(i)}\prime} (\Sigma_t^{(i)})^{-1} u_t^{(i)} \right)
,
where u_t = y_t - \mu_t
. The Akaike, Bayesian and Hannan–Quinn (HQ) information criteria are calculated as
AIC = 2 (Kp + Ms + N) - 2 LL
,
BIC = (Kp + Ms + N) ln(T) - 2 LL
and
HQ = 2 (Kp + Ms + N) ln(ln(T)) - 2 LL
, respectively,
where K
is the number of endogenous variables, p
the number of lags of endogenous variables,
M
the number of exogenous variables, s
the number of lags of exogenous variables,
N
the number of deterministic terms and T
the number of observations.
summary.bvarlist
returns a table of class "summary.bvarlist"
.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.