summary.SDDRidMIX | R Documentation |
Provides summary of the Savage-Dickey density ratios for verification of structural shocks normality. The outcomes can be used to make probabilistic statements about identification through non-normality.
## S3 method for class 'SDDRidMIX'
summary(object, ...)
object |
an object of class |
... |
additional arguments affecting the summary produced. |
A table reporting the logarithm of Bayes factors of normal to
non-normal shocks posterior odds "log(SDDR)"
for each structural shock,
their numerical standard errors "NSE"
, and the implied posterior
probability of the normality and non-normality hypothesis,
"Pr[normal|data]"
and "Pr[non-normal|data]"
respectively.
Tomasz Woźniak wozniak.tom@pm.me
verify_identification.PosteriorBSVARMIX
# upload data
data(us_fiscal_lsuw)
# specify the model and set seed
specification = specify_bsvar_mix$new(us_fiscal_lsuw, M = 2)
set.seed(123)
# estimate the model
posterior = estimate(specification, 10)
# verify heteroskedasticity
sddr = verify_identification(posterior)
summary(sddr)
# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
specify_bsvar_mix$new(M = 2) |>
estimate(S = 10) |>
verify_identification() |>
summary() -> sddr_summary
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