avg.pair.cc {BGVAR} | R Documentation |

## Average Pairwise Cross-Sectional Correlations

### Description

Computes average pairwise cross-sectional correlations of the data and the country models' residuals.

### Usage

```
avg.pair.cc(object, digits=3)
```

### Arguments

`object` |
Either an object of class |

`digits` |
Number of digits that should be used to print output to the console. |

### Details

If used for analyzing the country models' residuals, `avg.pair.cc`

computes for each country and a given variable, the average cross-sectional correlation (either for the data or for the residuals). In theory, including foreign variables should soak up cross-sectional residual dependence and correlation of the residuals should be small. Otherwise dynamic analysis, especially using GIRFs, might lead to invalid results. See Dees et al. (2007) for more details.

### Value

Returns a list with the following elements

`data.cor` |
is a matrix containing in the rows the cross-sections and in the columns the cross-sectional pairwise correlations of the data per variable. |

`resid.cor` |
is a matrix containing in the rows the cross-sections and in the columns the cross-sectional pairwise correlations of the country models' residuals per variable. |

`resid.corG` |
is a matrix containing in the rows the cross-sections and in the columns the cross-sectional pairwise correlations of the global models' residuals per variable. Only available when |

`data.res` |
is a summary object showing the number and percentage of correlations <0.1, between 0.1-0.2, 0.2-0.5 and <0.5 per variable of the data. |

`res.res` |
is a summary object showing the number and percentage of correlations <0.1, between 0.1-0.2, 0.2-0.5 and <0.5 per variable of the country models' residuals. This is also what is used by |

`res.resG` |
is a summary object showing the number and percentage of correlations <0.1, between 0.1-0.2, 0.2-0.5 and <0.5 per variable of the global models' residuals. Only available when |

### Author(s)

Martin Feldkircher

### References

Dees, S., Di Mauro F., Pesaran, M. H. and Smith, L. V. (2007) *Exploring the international linkages of the euro area: A global VAR analysis.* Journal of Applied Econometrics, Vol. 22, pp. 1-38.

### See Also

`bgvar`

for estimation of a `bgvar`

object.
`residuals`

for calculating the residuals from a `bgvar`

object and creating a `bgvar.res`

object.

### Examples

```
library(BGVAR)
data(testdata)
model.mn <- bgvar(Data=testdata,W=W.test,plag=1,SV=TRUE,
draws=100,burnin=100,prior="MN")
avg.pair.cc(model.mn)
res <- residuals(model.mn)
avg.pair.cc(res)
```

*BGVAR*version 2.5.7 Index]