coef.larch: Methods and extraction functions for 'larch' objects
In gets: General-to-Specific (GETS) Modelling and Indicator Saturation Methods

coef.larch

R Documentation

Methods and extraction functions for 'larch' objects

Description

Methods and extraction functions for 'larch' objects

Usage

  ## S3 method for class 'larch'
coef(object, ...)
  ## S3 method for class 'larch'
fitted(object, ...)
  ## S3 method for class 'larch'
logLik(object, ...)
  ## S3 method for class 'larch'
model.matrix(object, response=FALSE, as.zoo=TRUE, ...)
  ## S3 method for class 'larch'
nobs(object, ...)
  ## S3 method for class 'larch'
plot(x, col=c("red","blue"), lty=c("solid","solid"),
    lwd=c(1,1), ...)
  ## S3 method for class 'larch'
print(x, signif.stars=TRUE, verbose=FALSE, ...)
  ## S3 method for class 'larch'
residuals(object, ...)
  ## S3 method for class 'larch'
summary(object, ...)
  ## S3 method for class 'larch'
toLatex(object, ...)
  ## S3 method for class 'larch'
vcov(object, ...)

Arguments

`object`	an object of class 'larch'
`x`	an object of class 'larch'
`response`	logical. If `FALSE` (default), the returned object does not contain the response (log(e^2)) used in the estimation
`as.zoo`	logical. If `TRUE` (default), the returned object is of class `zoo`
`col`	a character vector of length two with the colours of actual (default=blue) and fitted (default=red) lines
`lty`	types of actual (default=solid) and fitted (default=solid) lines
`lwd`	widths of actual (default=1) and fitted (default=1) lines
`signif.stars`	logical. If `TRUE`, then p-values are additionally encoded visually, see `printCoefmat`
`verbose`	logical. If `TRUE`, and if `x` is the results of GETS modelling, then additional information pertaining to the GETS modelling is printed
`...`	additional arguments

Value

`coef:`	a vector containing the parameter estimates
`fitted:`	a `zoo` object with fitted values
`logLik:`	the log-likelihood (normal density)
`model.matrix:`	the model matrix (see `model.matrix`) of class `zoo` (default) of the model
`nobs:`	the number of observations
`plot:`	a plot of the fitted values and the residuals
`print:`	a print of the estimation results and, if `verbose=TRUE` and `x` is the result of GETS modelling, additional information pertaining to the GETS modelling
`residuals:`	a `zoo` object with the standardised residuals
`summary:`	a print of the items in the `larch` object
`toLatex:`	a LaTeX print of the estimation results (equation format)
`vcov:`	variance-covariance matrix

Author(s)

Genaro Sucarrat, https://www.sucarrat.net/

Examples

##simulate some data:
set.seed(123)
e <- rnorm(40)
x <- matrix(rnorm(40*2), 40, 2)

##estimate a log-ARCH(3)-X model:
mymod <- larch(e, arch=1:3, vxreg=x)

##print results:
print(mymod)

##LaTeX print of the estimation results (equation format):
toLatex(mymod)

##plot the fitted vs. actual values, and the standardised residuals:
plot(mymod)

##extract coefficient estimates (automatically determined):
coef(mymod)

##extract the fitted values:
fitted(mymod)

##extract the standardised residuals:
residuals(mymod)

##extract variance-covariance matrix:
vcov(mymod)

##extract log-likelihood (based on the normal density):
logLik(mymod)

##extract the model matrix of the model:
model.matrix(mymod)

##print the entries of object 'mymod':
summary(mymod)

gets documentation built on Sept. 11, 2024, 9:03 p.m.