Shrinkage Estimation Methods for Vector Autoregressive Models

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Documentation for package ‘VARshrink’ version 0.3.3

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

Acoef_sh	Coefficient matrices of the lagged endogenous variables
Bcoef_sh	Coefficient matrix of an estimated VAR(p)
calcSSE_Acoef	Sum of squared errors (SSE) between coefficients of two VARs
causality_sh	Causality Analysis
convPsi2varresult	Convert format for VAR coefficients from Psi to varresult
createVARCoefs_ltriangular	Create coefficients of a VAR model
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"
Phi.varshrinkest	Coefficient matrices of the MA represention
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)
serial.test_sh	Test for serially correlated errors
shrinkVARcoef	Semiparametric Bayesian Shrinkage Estimator for Multivariate Regression
simVARmodel	Generate multivariate time series data using the given VAR model
stability_sh	Structural stability of a VAR(p)
summary.shrinklm	Summarizing shrinkage estimates of an AR model
summary.varshrinkest	Summary method for an object of class "varshrinkest", VAR parameters estimated by VARshrink()
VARshrink	Shrinkage estimation of VAR parameters