Tidy a(n) varest object

Tidy summarizes information about the components of a model. A model component might be a single term in a regression, a single hypothesis, a cluster, or a class. Exactly what tidy considers to be a model component varies across models but is usually self-evident. If a model has several distinct types of components, you will need to specify which components to return.

# S3 method for varest
tidy(x, conf.int = FALSE, conf.level = 0.95, ...)

Arguments

x	A `varest` object produced by a call to `vars::VAR()`.
conf.int	Logical indicating whether or not to include a confidence interval in the tidied output. Defaults to `FALSE`.
conf.level	The confidence level to use for the confidence interval if `conf.int = TRUE`. Must be strictly greater than 0 and less than 1. Defaults to 0.95, which corresponds to a 95 percent confidence interval.
...	Additional arguments. Not used. Needed to match generic signature only. Cautionary note: Misspelled arguments will be absorbed in `...`, where they will be ignored. If the misspelled argument has a default value, the default value will be used. For example, if you pass `conf.level = 0.9`, all computation will proceed using `conf.level = 0.95`. Additionally, if you pass `newdata = my_tibble` to an `augment()` method that does not accept a `newdata` argument, it will use the default value for the `data` argument.

Details

The tibble has one row for each term in the regression. The component column indicates whether a particular term was used to model either the "mean" or "precision". Here the precision is the inverse of the variance, often referred to as phi. At least one term will have been used to model the precision phi.

The vars package does not include a confint method and does not report confidence intervals for varest objects. Setting the tidy argument conf.int = TRUE will return a warning.

Value

A tibble::tibble() with columns:

conf.high

Upper bound on the confidence interval for the estimate.

conf.low

Lower bound on the confidence interval for the estimate.

estimate

The estimated value of the regression term.

p.value

The two-sided p-value associated with the observed statistic.

statistic

The value of a T-statistic to use in a hypothesis that the regression term is non-zero.

std.error

The standard error of the regression term.

term

The name of the regression term.

component

Whether a particular term was used to model the mean or the precision in the regression. See details.

Examples

library(vars)
data("Canada", package = "vars")

mod <- VAR(Canada, p = 1, type = "both")

tidy(mod)
#> # A tibble: 24 x 6
#>    group term     estimate std.error statistic  p.value
#>    <chr> <chr>       <dbl>     <dbl>     <dbl>    <dbl>
#>  1 e     e.l1       1.24      0.0863     14.4  1.82e-23
#>  2 e     prod.l1    0.195     0.0361      5.39 7.49e- 7
#>  3 e     rw.l1     -0.0678    0.0283     -2.40 1.90e- 2
#>  4 e     U.l1       0.623     0.169       3.68 4.30e- 4
#>  5 e     const   -279.       75.2        -3.71 3.92e- 4
#>  6 e     trend     -0.0407    0.0197     -2.06 4.24e- 2
#>  7 prod  e.l1       1.24      0.0863     14.4  1.82e-23
#>  8 prod  prod.l1    0.195     0.0361      5.39 7.49e- 7
#>  9 prod  rw.l1     -0.0678    0.0283     -2.40 1.90e- 2
#> 10 prod  U.l1       0.623     0.169       3.68 4.30e- 4
#> # … with 14 more rows
glance(mod)
#> # A tibble: 1 x 4
#>   lag.order logLik  nobs     n
#>       <dbl>  <dbl> <dbl> <dbl>
#> 1         1  -208.    83    84

Arguments

Details

See also

Value

Examples