gmvarkit (version 1.1.1)

print_std_errors: Print standard errors of GMVAR model in the same form as the model estimates are printed

Description

print_std_errors prints the approximate standard errors of GMVAR model in the same form as the parameters of objects of class 'gmvar' are printed.

Usage

print_std_errors(gmvar, digits = 3)

Arguments

gmvar

object of class 'gmvar' created with fitGMVAR or GMVAR.

digits

how many digits should be printed?

Details

The main purpose of print_std_errors is to provide a convenient tool to match the standard errors to certain parameter estimates.

References

• Kalliovirta L., Meitz M. and Saikkonen P. 2016. Gaussian mixture vector autoregression. Journal of Econometrics, 192, 485-498.

• Kalliovirta L. and Saikkonen P. 2010. Reliable Residuals for Multivariate Nonlinear Time Series Models. Unpublished Revision of HECER Discussion Paper No. 247.

See Also

fitGMVAR, GMVAR, print.gmvar, swap_parametrization

Examples

# NOT RUN {
## These are long running examples that use parallel computing!

# These examples use the data 'eurusd' which comes with the
# package, but in a scaled form.
data <- cbind(10*eurusd[,1], 100*eurusd[,2])
colnames(data) <- colnames(eurusd)

# GMVAR(1,2) model with default settings
fit12 <- fitGMVAR(data, p=1, M=2)
fit12
print_std_errors(fit12)

# GMVAR(2,2) model with mean parametrization
fit22 <- fitGMVAR(data, p=2, M=2, parametrization="mean")
fit22
print_std_errors(fit22)

# GMVAR(2,2) model with autoregressive parameters restricted
# to be the same for all regimes
C_mat <- rbind(diag(2*2^2), diag(2*2^2))
fit22c <- fitGMVAR(data, p=2, M=2, constraints=C_mat)
fit22c
print_std_errors(fit22c)

# GMVAR(2,2) model with autoregressive parameters restricted
# to be the same for all regimes and non-diagonl elements
# the coefficient matrices constrained to zero.
tmp <- matrix(c(1, rep(0, 10), 1, rep(0, 8), 1, rep(0, 10), 1),
 nrow=2*2^2, byrow=FALSE)
C_mat2 <- rbind(tmp, tmp)
fit22c2 <- fitGMVAR(data, p=2, M=2, constraints=C_mat2, ncalls=10)
fit22c2
print_std_errors(fit22c2)
# }