Description Usage Arguments Details Value Note Author(s) See Also Examples
The function returns a summary of the model fit of a spatial ARCH model (qml.spARCH
or qml.SARspARCH
).
1 2 3 4 5 6 7 |
object |
spARCH object generated by |
digits |
The number of significant digits to be printed. |
signif.stars |
Logical variable. If TRUE, significance stars are printed for each coefficient. |
x |
spARCH object of |
... |
further arguments passed to or from other methods |
The function summary.spARCH
returns an spARCH object with all results (coefficients, residuals, diagnostic checks etc.). If the returned object is printed, a detailed summary of the model fit is returned.
The function returns the input spARCH object, plus
Coef |
a matrix with columns for the estimated coefficients, their standard error, t-statistics and corresponding (two-sided, asymptotic) p-values. |
AIC |
Akaike information criterion |
BIC |
Bayesian Schwarz information criterion |
moran_res |
Test on spatial spatial autocorrelation of the residuals (based on Morans I, |
moran_sq_res |
Test on spatial spatial autocorrelation of the squared residuals (based on Morans I, |
For further details about the Moran's I test see moran.test
.
Philipp Otto potto@europa-uni.de
The model fitting functions qml.spARCH
and qml.SARspARCH
. Function coef
will extract the matrix of coefficients with standard errors, t-statistics and p-values.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | require("spdep")
# directional spatial ARCH process (W is triangular, 1:1 origin)
rho <- 0.5
alpha <- 1
d <- 5
n <- d^2
nblist <- cell2nb(d, d, type = "queen")
W <- nb2mat(nblist)
W[lower.tri(W)] <- 0
y <- sim.spARCH(n = n, rho = rho, alpha = alpha, W = W, type = "spARCH")
out <- qml.spARCH(y ~ 0, W = W, type = "spARCH")
summary(out)
|
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