summary: Summary method for objects of class varest, svarest and svecest

Description

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

Usage

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

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.

Or a list with class attribute svarsum which contains the following elements:

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().

Or a list with class attribute svecsum which contains the following elements:

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().

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.

Author

Bernhard Pfaff

Examples

Run this code

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)