UComp (version 4.0.1)

UCvalidate: UCvalidate

Description

Shows a table of estimation and diagnostics results for UC models. Equivalent to print or summary. The table shows information in four sections: Firstly, information about the model estimated, the relevant periods of the seasonal component included, and further information about convergence. Secondly, parameters with their names are provided, the asymptotic standard errors, the ratio of the two, and the gradient at the optimum. One asterisk indicates concentrated-out parameters and two asterisks signals parameters constrained during estimation. Thirdly, information criteria and the value of the log-likelihood. Finally, diagnostic statistics about innovations, namely, the Ljung-Box Q test of absense of autocorrelation statistic for several lags, the Jarque-Bera gaussianity test, and a standard ratio of variances test.

Usage

UCvalidate(sys, printScreen = TRUE)

Value

The same input object with the appropriate fields filled in, in particular:

• table: Estimation and validation table

Arguments

sys

an object of type UComp created with UC

printScreen

print to screen or just return output table

Author

Diego J. Pedregal

See Also

UC, UCmodel, UCfilter, UCsmooth, UCdisturb, UCcomponents, UChp

Examples

if (FALSE) {
m1 <- UC(log(gdp))
m1 <- UCvalidate(m1)
}