SimScen: simscen function This function takes the mean and covariance...

In APRScenario: Structural Scenario Analysis for Bayesian Structural Vector Autoregression Models

simscen function This function takes the mean and covariance of the conditional forecast to draw from the conditional forecast distribution The shock uncertainty is included in the simulation by default, but can be turned off.

Description

simscen function This function takes the mean and covariance of the conditional forecast to draw from the conditional forecast distribution The shock uncertainty is included in the simulation by default, but can be turned off.

Usage

SimScen(
  mu_eps,
  Sigma_eps,
  mu_y,
  Sigma_y,
  big_b,
  big_M,
  n_sim,
  h,
  varbls,
  idx_sampled = 1:dim(mu_eps)[3],
  shock_uncertainty = TRUE
)

Arguments

mu_eps	mean innovation
Sigma_eps	variance innovation
mu_y	mean forecast
Sigma_y	variance forecast
big_b	history forecast
big_M	IRF (innovation loading)
n_sim	number of simulations
h	horizon
varbls	variable names
idx_sampled	index of random sample to use instead of full draws (from scenarios)
shock_uncertainty	(logical; optional) whether to include uncertainty in shocks (default is TRUE)

Value

conditional forecast path and distribution

Examples

## Not run: 
# Example usage after scenarios() function call
# Requires scenario results from scenarios() function
result <- SimScen(mu_eps = scenario_output$mu_eps, 
                  Sigma_eps = scenario_output$Sigma_eps,
                  mu_y = scenario_output$mu_y, 
                  Sigma_y = scenario_output$Sigma_y,
                  big_b = scenario_output$big_b, 
                  big_M = scenario_output$big_M,
                  n_sim = 1000, h = 3, varbls = c("GDP", "CPI", "FFR"))

## End(Not run)

APRScenario documentation built on Dec. 22, 2025, 1:06 a.m.