compute_fitted_values.PosteriorBSVARMSH: Computes posterior draws from data predictive density

In bsvars: Bayesian Estimation of Structural Vector Autoregressive Models

Computes posterior draws from data predictive density

Description

Each of the draws from the posterior estimation of models from packages bsvars or bsvarSIGNs is transformed into a draw from the data predictive density.

Usage

## S3 method for class 'PosteriorBSVARMSH'
compute_fitted_values(posterior)

Arguments

posterior

posterior estimation outcome - an object of class PosteriorBSVARMSH obtained by running the estimate function.

Value

An object of class PosteriorFitted, that is, an NxTxS array with attribute PosteriorFitted containing S draws from the data predictive density.

Author(s)

Tomasz Woźniak [e-mail]

See Also

estimate, summary

Examples

# upload data
data(us_fiscal_lsuw)

# specify the model and set seed
set.seed(123)
specification  = specify_bsvar_msh$new(us_fiscal_lsuw, p = 1, M = 2)

# run the burn-in
burn_in        = estimate(specification, 10)

# estimate the model
posterior      = estimate(burn_in, 20)

# compute draws from in-sample predictive density
csd     = compute_fitted_values(posterior)

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar_msh$new(p = 1, M = 2) |>
  estimate(S = 10) |> 
  estimate(S = 20) |> 
  compute_fitted_values() -> csd
  

bsvars documentation built on Oct. 24, 2024, 5:11 p.m.