Shrinkage Estimation Methods for Vector Autoregressive Models

---

Documentation for package ‘VARshrink’ version 0.5.0

• 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)
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	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 representation
print.varshrinkest	Print method for class "varshrinkest"
print.varshsum	Print method for class "varshsum"
Psi.varshrinkest	Coefficient matrices of the orthogonalized MA representation
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