summary.bvarlist function

Summarising Bayesian VAR or VEC Models

summary method for class "bvarlist".

## S3 method for class 'bvarlist'
summary(object, ...)

Arguments

• object: an object of class "bvar", usually, a result of a call to draw_posterior.
• ...: further arguments passed to or from other methods.

Returns

summary.bvarlist returns a table of class "summary.bvarlist".

Details

The log-likelihood for the calculation of the information criteria is obtained by

, where $u_t = y_t - \mu_t$. The Akaike, Bayesian and Hannan–Quinn (HQ) information criteria are calculated as

,

and

, respectively, where $K$ is the number of endogenous variables, $p$ the number of lags of endogenous variables, $M$ the number of exogenous variables, $s$ the number of lags of exogenous variables, $N$ the number of deterministic terms and $T$ the number of observations.