gets (version 0.38)

coef.arx: Extraction functions for 'arx' objects

Description

Extraction functions for objects of class 'arx'

Usage

# S3 method for arx
coef(object, spec=NULL, ...)
  # S3 method for arx
fitted(object, spec=NULL, ...)
  # S3 method for arx
logLik(object, ...)
  # S3 method for arx
model.matrix(object, spec=c("mean","variance"), response=FALSE, as.zoo=TRUE, ...)
  # S3 method for arx
nobs(object, spec=NULL, ...)
  # S3 method for arx
plot(x, spec=NULL, col=c("red","blue"),
    lty=c("solid","solid"), lwd=c(1,1), ...)
  # S3 method for arx
print(x, signif.stars=TRUE, ...)
  # S3 method for arx
residuals(object, std=FALSE, ...)
  # S3 method for arx
sigma(object, ...)
  # S3 method for arx
summary(object, ...)
  # S3 method for arx
vcov(object, spec=NULL, ...)

Value

coef:

a numeric vector containing parameter estimates

fitted:

a zoo object with fitted values

logLik:

log-likelihood (normal density)

model.matrix:

a matrix with the regressors and, optionally, the response

nobs:

the number of observations

plot:

a plot of the fitted values and the residuals

print:

a print of the estimation results

residuals:

a zoo object with the residuals

sigma:

the regression standard error ('SE of regression')

summary:

a print of the items in the arx object

vcov:

variance-covariance matrix

Arguments

object

an object of class 'arx'

x

an object of class 'arx'

spec

NULL, "mean", "variance" or, in some instances, "both". When NULL is a valid value, then it is automatically determined whether information pertaining to the mean or variance specification should be returned

response

logical. If TRUE, then the response is included in the first column

as.zoo

logical. If TRUE (default), then the returned matrix is of class zoo

signif.stars

logical. If TRUE, then p-values are additionally encoded visually, see printCoefmat

std

logical. If FALSE (default), then the mean residuals are returned. If TRUE, then the standardised residuals are returned

col

colours of actual (default=blue) and fitted (default=red) lines

lty

types of actual (default=solid) and fitted (default=solid) lines

lwd

widths of actual (default=1) and fitted (default=1) lines

...

additional arguments

Author

Felix Pretis, https://felixpretis.climateeconometrics.org/
James Reade, https://sites.google.com/site/jjamesreade/
Moritz Schwarz, https://www.inet.ox.ac.uk/people/moritz-schwarz
Genaro Sucarrat, http://www.sucarrat.net/

See Also

arx

Examples

##simulate from an AR(1):
set.seed(123)
y <- arima.sim(list(ar=0.4), 40)

##simulate four independent Gaussian regressors:
xregs <- matrix(rnorm(4*40), 40, 4)

##estimate an 'arx' model: An AR(2) with intercept and four conditioning
##regressors in the mean, and log-ARCH(3) in the variance:
mymod <- arx(y, mc=TRUE, ar=1:2, mxreg=xregs, arch=1:3)

##print results:
print(mymod)

##plot the fitted vs. actual values, and the residuals:
plot(mymod)

##print the entries of object 'mymod':
summary(mymod)

##extract coefficient estimates (automatically determined):
coef(mymod)

##extract mean coefficients only:
coef(mymod, spec="mean")

##extract log-variance coefficients only:
coef(mymod, spec="variance")

##extract all coefficient estimates:
coef(mymod, spec="both")

##extract regression standard error:
sigma(mymod)

##extract log-likelihood:
logLik(mymod)

##extract variance-covariance matrix of mean equation:
vcov(mymod)

##extract variance-covariance matrix of log-variance equation:
vcov(mymod, spec="variance")

##extract and plot the fitted mean values (automatically determined):
mfit <- fitted(mymod)
plot(mfit)

##extract and plot the fitted variance values:
vfit <- fitted(mymod, spec="variance")
plot(vfit)

##extract and plot both the fitted mean and variance values:
vfit <- fitted(mymod, spec="both")
plot(vfit)

##extract and plot the fitted mean values:
vfit <- fitted(mymod, spec="mean")
plot(vfit)

##extract and plot residuals:
epshat <- residuals(mymod)
plot(epshat)

##extract and plot standardised residuals:
zhat <- residuals(mymod, std=TRUE)
plot(zhat)