VARshrink (version 0.3.1)

summary.varshrinkest: Summary method for an object of class 'varshrinkest', VAR parameters estimated by VARshrink()

Description

Extend summary.varest() to class 'varshrinest' to incorporate adapted methods for new classes: summary.shrinklm(), logLik.varshrinkest(), roots.varshrinkest().

Usage

# S3 method for varshrinkest
summary(object, equations = NULL, ...)

Arguments

object

An object of class "varshrinkest", usually a result of call to "VARshrink()".

equations

Subset of names of endogenous time series variables to summarize.

...

Currently not used.

Details

Code is modified to avoid call to data matrices ($y, $datamat) and to use effective numbers of parameters of shrinkage estimates.

Output includes the scale matrix, Sigma, and degree-of-freedom, dof, for multivariate t-distribution for residuals.

Examples

# NOT RUN {
data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
summary(estim)
# }