summary.PosteriorIR: Provides posterior summary of impulse responses

In bsvars: Bayesian Estimation of Structural Vector Autoregressive Models

Provides posterior summary of impulse responses

Description

Provides posterior summary of the impulse responses of each variable to each of the shocks at all horizons. Includes their posterior means, standard deviations, as well as 5 and 95 percentiles.

Usage

## S3 method for class 'PosteriorIR'
summary(object, ...)

Arguments

object	an object of class PosteriorIR obtained using the compute_impulse_responses() function containing draws from the posterior distribution of the impulse responses.
...	additional arguments affecting the summary produced.

Value

A list reporting the posterior mean, standard deviations, as well as 5 and 95 percentiles of the impulse responses of each variable to each of the shocks at all horizons.

Author(s)

Tomasz Woźniak [e-mail]

See Also

compute_impulse_responses

Examples

# upload data
data(us_fiscal_lsuw)

# specify the model and set seed
set.seed(123)
specification  = specify_bsvar$new(us_fiscal_lsuw)

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

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

# compute impulse responses
irf            = compute_impulse_responses(posterior, horizon = 4)
irf_summary    = summary(irf)

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar$new() |>
  estimate(S = 10) |> 
  estimate(S = 20) |> 
  compute_impulse_responses(horizon = 4) |>
  summary() -> irf_summary

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