'summary' methods for class '"varest"', '"svarest"' and '"svecest"'.
# S3 method for varest
summary(object, equations = NULL, ...)
# S3 method for varsum
print(x, digits = max(3, getOption("digits") - 3),
signif.stars = getOption("show.signif.stars"), ...)
# S3 method for svarest
summary(object, ...)
# S3 method for svarsum
print(x, digits = max(3, getOption("digits") - 3), ...)
# S3 method for svecest
summary(object, ...)
# S3 method for svecsum
print(x, digits = max(3, getOption("digits") - 3), ...)Returns either a list with class attribute varsum which contains the
following elements:
Character vector with the names of the endogenous correlation matrix of VAR residuals.
Numeric, value of log Likelihood.
Integer, sample size.
Vector, roots of the characteristic polynomial.
Character vector, deterministic regressors included in VAR:
Call, the initial call to VAR.
Or a list with class attribute svarsum which contains the
following elements:
Character, the type of SVAR-model.
Matrix, estimated coefficients for A matrix.
Matrix, estimated coefficients for B matrix.
Matrix, standard errors for A matrix.
Matrix, standard errors for B matrix.
Matrix, long-run impact coefficients for BQ.
Matrix, variance/covariance of reduced form residuals.
Numeric, value of log-Likelihood.
htest, LR result of over-identification test.
Integer, number of observations used.
List, result of optim().
Integer, the count of iterations.
Call, the call to SVAR().
Or a list with class attribute svecsum which contains the
following elements:
Character, the type of SVEC-model.
Matrix, contemporaneous impact matrix.
Matrix, long-run impact matrix.
Matrix, standard errors for SR matrix.
Matrix, standard errors for LR matrix.
Matrix, variance/covariance of reduced form residuals.
Numeric, value of log-Likelihood.
htest, LR result of over-identification test.
Integer, number of observations used.
Integer, co-integration rank of VECM.
Integer, the count of iterations.
Call, the call to SVEC().
Object of class ‘varest’, usually, a
result of a call to VAR, or object of class ‘svarest’, usually, a
result of a call to SVAR, or object of class ‘svecest’, usually, a
result of a call to SVEC.
Character vector of endogenous variable names for
which summary results should be returned. The default is NULL
and results are returned for all equations in the VAR.
Object with class attribute ‘varsum’, ‘svarsum’.
the number of significant digits to use when printing.
logical. If 'TRUE', ‘significance stars’ are printed for each coefficient.
further arguments passed to or from other methods.
Bernhard Pfaff
VAR, SVAR, SVEC
data(Canada)
## summary-method for varest
var.2c <- VAR(Canada, p = 2 , type = "const")
summary(var.2c)
## summary-method for svarest
amat <- diag(4)
diag(amat) <- NA
amat[2, 1] <- NA
amat[4, 1] <- NA
## Estimation method scoring
svar.a <- SVAR(x = var.2c, estmethod = "scoring", Amat = amat, Bmat = NULL,
max.iter = 100, maxls = 1000, conv.crit = 1.0e-8)
summary(svar.a)
## summary-method for svecest
vecm <- ca.jo(Canada[, c("prod", "e", "U", "rw")], type = "trace",
ecdet = "trend", K = 3, spec = "transitory")
SR <- matrix(NA, nrow = 4, ncol = 4)
SR[4, 2] <- 0
LR <- matrix(NA, nrow = 4, ncol = 4)
LR[1, 2:4] <- 0
LR[2:4, 4] <- 0
svec.b <- SVEC(vecm, LR = LR, SR = SR, r = 1, lrtest = FALSE, boot =
FALSE)
summary(svec.b)
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