summary.varshrinkest {VARshrink} | R Documentation |
Extend summary.varest() to class 'varshrinest' to incorporate adapted methods for new classes: summary.shrinklm(), logLik.varshrinkest(), roots.varshrinkest().
## S3 method for class 'varshrinkest'
summary(object, equations = NULL, ...)
object |
An object of class "varshrinkest", usually a result of call to "VARshrink()". |
equations |
Subset of names of endogenous time series variables to summarize. |
... |
Currently not used. |
Code is modified to avoid call to data matrices ($y, $datamat) and to use effective numbers of parameters of shrinkage estimates.
Output includes the scale matrix, Sigma, and degree-of-freedom, dof, for multivariate t-distribution for residuals.
data(Canada, package = "vars")
y <- diff(Canada)
estim <- VARshrink(y, p = 2, type = "const", method = "ridge")
summary(estim)