Question

此问题与此链接中的问题高度相关。 How to extract p-value in var package?

我只想从VARS包中调整R平方..

即使有类似的问题，我也没有任何想法修改以调整r方..请帮助我。

我只是按照上一个例子。

  library(vars)
  symbols=c('^N225','^FTSE','^GSPC')
  getSymbols(symbols,src='yahoo', from="2003-04-28", to="2007-10-29")
  period="daily"
  A1=periodReturn(N225$N225.Adjusted,period=period)
  B1=periodReturn(FTSE$FTSE.Adjusted,period=period)
  C1=periodReturn(GSPC$GSPC.Adjusted,period=period)
  datap_1<-cbind(A1,B1,C1)
  datap_1<-na.omit(datap_1)   
  datap_1<-(datap_1)^2
  vardatap_3<-VAR(datap_1,p=3,type="none")
  summary(vardatap_3)

然后摘要可以显示为..

      VAR Estimation Results:
  ========================= 
  Endogenous variables: N225, FTSE, SP500 
  Deterministic variables: none 
  Sample size: 1055 
  Log Likelihood: 23637.848 
  Roots of the characteristic polynomial:
  0.8639 0.6224 0.6224 0.5711 0.5711 0.5471 0.5471 0.4683 0.4683
  Call:
  VAR(y = datap_1, p = 3, type = "none")
  Estimation results for equation N225: 
  ===================================== 
  N225 = N225.l1 + FTSE.l1 + SP500.l1 + N225.l2 + FTSE.l2 + SP500.l2 + N225.l3 +        FTSE.l3 + SP500.l3 
       Estimate Std. Error t value Pr(>|t|)    
  N225.l1   0.03436    0.03116   1.103    0.270    
  FTSE.l1   0.47025    0.06633   7.089 2.48e-12 ***
  SP500.l1  0.60717    0.07512   8.083 1.74e-15 ***
  N225.l2   0.14938    0.03057   4.886 1.19e-06 ***
  FTSE.l2  -0.05440    0.06744  -0.807    0.420    
  SP500.l2 -0.09024    0.07782  -1.160    0.246    
  N225.l3   0.16809    0.02924   5.749 1.18e-08 ***
  FTSE.l3   0.04480    0.06597   0.679    0.497    
  SP500.l3 -0.01007    0.07941  -0.127    0.899    
  ---
  Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

  Residual standard error: 0.0002397 on 1046 degrees of freedom
  Multiple R-Squared: 0.3099,     Adjusted R-squared: 0.304 
  F-statistic:  52.2 on 9 and 1046 DF,  p-value: < 2.2e-16

Answer 1

可以在函数summary()和列表元素varresult的输出中访问调整后的r平方值。 varresult包含每日返回的汇总表。

> lapply(summary(vardatap_3)$varresult, "[", "adj.r.squared")
$daily.returns
$daily.returns$adj.r.squared
[1] 0.3039812


$daily.returns.1
$daily.returns.1$adj.r.squared
[1] 0.3201587


$daily.returns.2
$daily.returns.2$adj.r.squared
[1] 0.1972104

如何在vars包中提取调整后的R平方？

1 个答案: