stable_bvar: Stable posterior draws

In bayesianVARs: MCMC Estimation of Bayesian Vectorautoregressions

Stable posterior draws

Description

stable_bvar() detects and discards all posterior draws of an bayesianVARs_bvar object that do not fulfill the stability condition: A VAR(p) model is considered as stable only if the eigenvalues of the companion form matrix lie inside the unit circle.

Usage

stable_bvar(object, quiet = FALSE)

Arguments

object	A bayesianVARs_bvar object obtained via bvar().
quiet	logical indicating whether informative output should be omitted.

Value

An object of type bayesianVARs_bvar.

Examples

# Access a subset of the usmacro_growth dataset
data <- usmacro_growth[,c("GDPC1", "CPIAUCSL", "FEDFUNDS")]

# Estimate a model
mod <- bvar(data, sv_keep = "all", quiet = TRUE)

# Discard "unstable" draws
stable_mod <- stable_bvar(mod)

bayesianVARs documentation built on April 3, 2025, 6:25 p.m.