varResults#

Purpose#

Reprint the estimation summary table from a fitted VAR or BVAR model.

Format#

call varResults(result)

call varResults(result, level=0.90)

Parameters:

result (struct) – an instance of a varResult, bvarResult, or bvarSvResult structure.
level (scalar) – Optional keyword, credible interval level for Bayesian models. Default = 0.68 (68% bands, standard in macro). For frequentist varResult, controls the confidence level.

Examples#

new;
library timeseries;

data = loadd(getGAUSSHome("pkgs/timeseries/examples/macro.dat"));

// Fit with output suppressed
result = bvarFit(data, quiet=1);

// Print with default 68% credible bands
call varResults(result);

// Reprint with 90% credible bands
call varResults(result, level=0.90);

Remarks#

Accepts any of the three VAR result struct types (varResult, bvarResult, bvarSvResult). The printed format adapts automatically:

varResult: frequentist table with Coef, SE, t-stat, p-value
bvarResult: Bayesian table with Mean, SD, lower/upper credible bands
bvarSvResult: Bayesian table + SV parameters + acceptance rates + PIPs (if SSVS)

Library#

timeseries

Source#

var.src