summary {vars}R Documentation

Summary method for objects of class varest, svarest and svecest

Description

'summary' methods for class '"varest"', '"svarest"' and '"svecest"'.

Usage

## S3 method for class 'varest':
summary(object, equations = NULL, ...)
## S3 method for class 'varsum':
print(x, digits = max(3, getOption("digits") - 3),
signif.stars = getOption("show.signif.stars"), ...)
## S3 method for class 'svarest':
summary(object,  ...)
## S3 method for class 'svarsum':
print(x, digits = max(3, getOption("digits") - 3), ...)
## S3 method for class 'svecest':
summary(object,  ...)
## S3 method for class 'svecsum':
print(x, digits = max(3, getOption("digits") - 3), ...)

Arguments

object 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.
equations 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.
x Object with class attribute ‘varsum’, ‘svarsum’.
digits the number of significant digits to use when printing.
signif.stars logical. If 'TRUE', ‘significance stars’ are printed for each coefficient.
... further arguments passed to or from other methods.

Value

Returns either a list with class attribute varsum which contains the following elements:

names Character vector with the names of the endogenous correlation matrix of VAR residuals.
logLik Numeric, value of log Likelihood.
obs Integer, sample size.
roots Vector, roots of the characteristic polynomial.
type Character vector, deterministic regressors included in VAR:
call Call, the initial call to VAR.
type Character, the type of SVAR-model.
A Matrix, estimated coefficients for A matrix.
B Matrix, estimated coefficients for B matrix.
Ase Matrix, standard errors for A matrix.
Bse Matrix, standard errors for B matrix.
LRIM Matrix, long-run impact coefficients for BQ.
Sigma.U Matrix, variance/covariance of reduced form residuals.
logLik Numeric, value of log-Likelihood.
LR htest, LR result of over-identification test.
obs Integer, number of observations used.
opt List, result of optim().
iter Integer, the count of iterations.
call Call, the call to SVAR().
type Character, the type of SVEC-model.
SR Matrix, contemporaneous impact matrix.
LR Matrix, long-run impact matrix.
SRse Matrix, standard errors for SR matrix.
LRse Matrix, standard errors for LR matrix.
Sigma.U Matrix, variance/covariance of reduced form residuals.
logLik Numeric, value of log-Likelihood.
LRover htest, LR result of over-identification test.
obs Integer, number of observations used.
r Integer, co-integration rank of VECM.
iter Integer, the count of iterations.
call Call, the call to SVEC().

Author(s)

Bernhard Pfaff

See Also

VAR, SVAR, SVEC

Examples

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) 

[Package vars version 1.4-4 Index]