varCoefTable#

Purpose#

Return the coefficient table from a fitted VAR or BVAR model as a dataframe.

Format#

tab = varCoefTable(result)#

tab = varCoefTable(result, equation=2)

Parameters:

result (struct) – an instance of a varResult, bvarResult, or bvarSvResult structure.
equation (scalar) – Optional keyword, equation number (1 to m) to extract. Default = 0 (all equations stacked).

Returns:

tab (dataframe) – Dataframe. For frequentist: columns Name, Coef, SE, t-stat, p-value. For Bayesian: columns Name, Mean, SD, 16%, 84%.

Examples#

new;
library timeseries;

data = loadd(getGAUSSHome("pkgs/timeseries/examples/macro.dat"));
result = varFit(data, 4, quiet=1);

// Full table (all equations)
tab = varCoefTable(result);
print tab;

// Single equation
tab_gdp = varCoefTable(result, equation=1);
print tab_gdp;

Library#

timeseries

Source#

var.src