summary.SDDRidSV | R Documentation |
Provides summary of the Savage-Dickey density ratios for verification of structural shocks homoskedasticity. The outcomes can be used to make probabilistic statements about identification through heteroskedasticity following Lütkepohl, Shang, Uzeda & Woźniak (2024).
## S3 method for class 'SDDRidSV'
summary(object, ...)
object |
an object of class |
... |
additional arguments affecting the summary produced. |
A table reporting the logarithm of Bayes factors of homoskedastic to
heteroskedastic posterior odds "log(SDDR)"
for each structural shock,
their numerical standard errors "NSE"
, and the implied posterior
probability of the homoskedasticity and heteroskedasticity hypothesis,
"Pr[homoskedasticity|data]"
and "Pr[heteroskedasticity|data]"
respectively.
Tomasz Woźniak wozniak.tom@pm.me
Lütkepohl, H., Shang, F., Uzeda, L., and Woźniak, T. (2024) Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. University of Melbourne Working Paper, 1–57, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.48550/arXiv.2404.11057")}.
verify_identification.PosteriorBSVARSV
# upload data
data(us_fiscal_lsuw)
# specify the model and set seed
specification = specify_bsvar_sv$new(us_fiscal_lsuw)
set.seed(123)
# estimate the model
posterior = estimate(specification, 10)
# verify heteroskedasticity
sddr = verify_identification(posterior)
summary(sddr)
# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
specify_bsvar_sv$new() |>
estimate(S = 10) |>
verify_identification() |>
summary() -> sddr_summary
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