calcSSE_Acoef {VARshrink} | R Documentation |
Sum of squared errors (SSE) between coefficients of two VARs
Description
Compute sum of squared errors of coefficients of lagged endogenous variables (Acoef) of two VAR models.
Usage
calcSSE_Acoef(Acoef1, Acoef2)
Arguments
Acoef1 , Acoef2 |
Each one is a list object with K-by-K coefficient matrices of lagged endogenous variables. See help(Acoef_sh), or, help(Acoef). |
Details
Consider VAR(p) model:
y_t = A_1 y_{t-1} + ... + A_p y_{t-p} + C d_t + e_t.
The SSE of two VAR(p) models is expressed as
sum_{k=1}^p sum_{i=1}^K sum_{j=1}^K ( (A_k)_{ij} - (A_k')_{ij} )^2.
Value
SSE value.
Examples
data(Canada, package = "vars")
y <- diff(Canada)
estim1 <- VARshrink(y, p = 2, type = "const", method = "fbayes")
Acoef1 <- Acoef_sh(estim1)
estim2 <- VARshrink(y, p = 2, type = "const", method = "ridge")
Acoef2 <- Acoef_sh(estim2)
calcSSE_Acoef(Acoef1, Acoef2)
[Package VARshrink version 0.3.1 Index]