View source: R/normalise_posterior.R
normalise_posterior | R Documentation |
B
Normalises the sign of rows of matrix B
MCMC draws,
provided as the first argument posterior_B
, relative to matrix
B_hat
, provided as the second argument of the function. The implemented
procedure proposed by Waggoner, Zha (2003) normalises the MCMC output in an
optimal way leading to the unimodal posterior. Only normalised MCMC output is
suitable for the computations of the posterior characteristics of the B
matrix elements and their functions such as the impulse response functions and other
economically interpretable values.
normalise_posterior(posterior, B_hat)
posterior |
posterior estimation outcome - an object of either of classes:
PosteriorBSVAR, PosteriorBSVARMSH, PosteriorBSVARMIX, or PosteriorBSVARSV
containing, amongst other draws, the |
B_hat |
an |
Nothing. The normalised elements overwrite the corresponding elements of
the first argument posterior_B
by reference.
Tomasz Woźniak wozniak.tom@pm.me
Waggoner, D.F., and Zha, T., (2003) Likelihood Preserving Normalization in Multiple Equation Models. Journal of Econometrics, 114(2), 329–47, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/S0304-4076(03)00087-3")}.
estimate
# upload data
data(us_fiscal_lsuw)
# specify the model and set seed
specification = specify_bsvar_sv$new(us_fiscal_lsuw, p = 4)
set.seed(123)
# run the burn-in
burn_in = estimate(specification, 10)
# estimate the model
posterior = estimate(burn_in, 10, thin = 1)
# normalise the posterior
BB = posterior$last_draw$starting_values$B # get the last draw of B
B_hat = diag((-1) * sign(diag(BB))) %*% BB # set negative diagonal elements
normalise_posterior(posterior, B_hat) # draws in posterior are normalised
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