Hello,
I noticed very different results for R-Squared when printing the results of a restrict model.
Looking at the examples given in the package
library(vars)
data(Canada)
var.2c <- VAR(Canada, p = 2, type = "const")
summary(var.2c)
var.2c.restrict <- restrict(var.2c, method = "ser")
summary(var.2c.restrict)
It does not seem that the summary(var.2c.restrict) gives the correct R-Squared statistics.
Is that a but or am I missing something?
Thanks and congrats on this very useful package!