summary.spARCH: Summary for spARCH object

In spGARCH: Spatial ARCH and GARCH Models (spGARCH)

Description

The function returns a summary of the model fit of a spatial ARCH model (qml.spARCH or qml.SARspARCH).

Usage

## S3 method for class 'spARCH'
summary(object, ...)
## S3 method for class 'summary.spARCH'
print(x, digits = max(5, .Options$digits - 3),
	signif.stars = TRUE, ...)
## S3 method for class 'spARCH'
print(x, ...)

Arguments

object	spARCH object generated by qml.spARCH or qml.SARspARCH.
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 qml.spARCH.
...	further arguments passed to or from other methods

Details

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.

Value

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.test).
moran_sq_res	Test on spatial spatial autocorrelation of the squared residuals (based on Morans I, moran.test).

Note

For further details about the Moran's I test see moran.test.

Author(s)

Philipp Otto [e-mail]

See Also

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.

Examples

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)

spGARCH documentation built on Sept. 2, 2020, 9:07 a.m.