coef.bvar: Coefficient and VCOV methods for Bayesian VARs

In BVAR: Hierarchical Bayesian Vector Autoregression

Coefficient and VCOV methods for Bayesian VARs

Description

Retrieves coefficient / variance-covariance values from Bayesian VAR models generated with bvar. Note that coefficients are available for every stored draw and one may retrieve (a) credible intervals via the conf_bands argument, or (2) means via the type argument.

Usage

## S3 method for class 'bvar'
coef(
  object,
  type = c("quantile", "mean"),
  conf_bands = 0.5,
  companion = FALSE,
  ...
)

## S3 method for class 'bvar'
vcov(object, type = c("quantile", "mean"), conf_bands = 0.5, ...)

Arguments

object	A bvar object, obtained from bvar.
type	Character scalar. Whether to return quantile or mean values. Note that conf_bands is ignored for mean values.
conf_bands	Numeric vector of confidence bands to apply. E.g. for bands at 5%, 10%, 90% and 95% set this to c(0.05, 0.1). Note that the median, i.e. 0.5 is always included.
companion	Logical scalar. Whether to retrieve the companion matrix of coefficients. See companion.bvar.
...	Not used.

Value

Returns a numeric array of class bvar_coefs or bvar_vcovs at the specified values.

See Also

bvar; companion.bvar

Examples

# Access a subset of the fred_qd dataset
data <- fred_qd[, c("CPIAUCSL", "UNRATE", "FEDFUNDS")]
# Transform it to be stationary
data <- fred_transform(data, codes = c(5, 5, 1), lag = 4)

# Estimate a BVAR using one lag, default settings and very few draws
x <- bvar(data, lags = 1, n_draw = 1000L, n_burn = 200L, verbose = FALSE)

# Get coefficent values at the 10%, 50% and 90% quantiles
coef(x, conf_bands = 0.10)

# Only get the median of the variance-covariance matrix
vcov(x, conf_bands = 0.5)

BVAR documentation built on May 29, 2024, 5:34 a.m.