verify_volatility.PosteriorBSVAR | R Documentation |
This function will be deprecated starting from version 4.0.
It is replaced by verify_identification
function.
Displays information that the model is homoskedastic.
## S3 method for class 'PosteriorBSVAR'
verify_volatility(posterior)
posterior |
the |
Nothing. Just displays a message: The model is homoskedastic.
Tomasz Woźniak wozniak.tom@pm.me
Lütkepohl, H., and Woźniak, T., (2020) Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity. Journal of Economic Dynamics and Control 113, 103862, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jedc.2020.103862")}.
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")}.
# simple workflow
############################################################
# upload data
data(us_fiscal_lsuw)
# specify the model and set seed
specification = specify_bsvar$new(us_fiscal_lsuw, p = 1)
set.seed(123)
# estimate the model
posterior = estimate(specification, 10)
# verify heteroskedasticity
sddr = verify_volatility(posterior)
# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
specify_bsvar$new(p = 1) |>
estimate(S = 10) |>
verify_volatility() -> sddr
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