Summarising Bayesian VAR Models
summary method for class "bvarlist".
## S3 method for class 'bvarlist' summary(object, ...)
object |
an object of class |
... |
further arguments passed to or from other methods. |
The log-likelihood for the calculation of the information criteria is obtained by
LL = \frac{1}{R} ∑_{i = 1}^{R} ≤ft( ∑_{t = 1}^{T} -\frac{K}{2} \ln 2π - \frac{1}{2} \ln |Σ_t^{(i)}| -\frac{1}{2} (u_t^{{(i)}\prime} (Σ_t^{(i)})^{-1} u_t^{(i)} \right)
, where u_t = y_t - μ_t. The Akaike, Bayesian and Hannan–Quinn (HQ) information criteria are calculated as
AIC = 2 (Kp + Ms + N) - 2 LL
,
BIC = (Kp + Ms + N) ln(T) - 2 LL
and
HQ = 2 (Kp + Ms + N) ln(ln(T)) - 2 LL
, respectively.
summary.bvarlist returns a table of class "summary.bvarlist".
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