R: Shrinkage Estimation Methods for Vector Autoregressive Models

# 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