compute_structural_shocks.PosteriorBSVARSV: Computes posterior draws of structural shocks

In bsvars: Bayesian Estimation of Structural Vector Autoregressive Models

Computes posterior draws of structural shocks

Description

Each of the draws from the posterior estimation of models from packages bsvars or bsvarSIGNs is transformed into a draw from the posterior distribution of the structural shocks.

Usage

## S3 method for class 'PosteriorBSVARSV'
compute_structural_shocks(posterior)

Arguments

posterior

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

Value

An object of class PosteriorShocks, that is, an NxTxS array with attribute PosteriorShocks containing S draws of the structural shocks.

Author(s)

Tomasz Woźniak [e-mail]

See Also

estimate, normalise_posterior, summary

Examples

# upload data
data(us_fiscal_lsuw)

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

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

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

# compute structural shocks
shocks         = compute_structural_shocks(posterior)

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar_sv$new(p = 1) |>
  estimate(S = 10) |> 
  estimate(S = 20) |> 
  compute_structural_shocks() -> ss

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