Shrinkage Estimation Methods for Vector Autoregressive Models

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Documentation for package ‘VARshrink’ version 0.3.1

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Acoef_sh Coefficient matrices of endogenous variables
arch.test_sh ARCH-LM test
Bcoef_sh Coefficient matrix
BQ_sh BQ function for class "varshrinkest"
calcSSE_Acoef Sum of squared errors (SSE) between coefficients of two VARs
causality_sh Causality Analysis for class "varshrinkest"
convPsi2varresult Convert format for VAR coefficients from Psi to varresult
createVARCoefs_ltriangular Create coefficients of a VAR model
fevd.varshrinkest Forecast Error Variance Decomposition
irf.varshrinkest Impulse response function
lm_full_Bayes_SR Full Bayesian Shrinkage Estimation Method for Multivariate Regression
lm_multiv_ridge Multivariate Ridge Regression
lm_semi_Bayes_PCV Semiparametric Bayesian Shrinkage Estimation Method for Multivariate Regression
lm_ShVAR_KCV K-fold Cross Validation for Selection of Shrinkage Parameters of Semiparametric Bayesian Shrinkage Estimator for Multivariate Regression
logLik.varshrinkest Log-likelihood method for class "varshrinkest"
normality.test_sh Normality, multivariate skewness and kurtosis test
Phi.varshrinkest Coefficient matrices of the MA represention
predict.varshrinkest Predict method for objects of class varshrinkest
print.varshrinkest Print method for class "varshrinkest"
print.varshsum Print method for class "varshsum"
restrict_sh Restricted VAR
roots_sh Eigenvalues of the companion coefficient matrix of a VAR(p)-process
serial.test_sh Test for serially correlated errors for VAR shrinkage estimate
shrinkVARcoef Semiparametric Bayesian Shrinkage Estimator for Multivariate Regression
simVARmodel Generate multivariate time series data using the given VAR model
stability_sh Stability function
summary.shrinklm Summary method for class "shrinklm"
summary.varshrinkest Summary method for an object of class 'varshrinkest', VAR parameters estimated by VARshrink()
VARshrink Shrinkage estimation of VAR parameters