R/compute_structural_shocks.R

In bsvars: Bayesian Estimation of Structural Vector Autoregressive Models

#' @title Computes posterior draws of structural shocks
#'
#' @description Each of the draws from the posterior estimation of models from
#' packages \pkg{bsvars} or \pkg{bsvarSIGNs} is transformed into
#' a draw from the posterior distribution of the structural shocks. 
#' 
#' @param posterior posterior estimation outcome obtained by running the \code{estimate} function. 
#' The interpretation depends on the normalisation of the shocks
#' using function \code{normalise_posterior()}. Verify if the default settings are appropriate.
#' 
#' @return An object of class PosteriorShocks, that is, an \code{NxTxS} array with attribute PosteriorShocks 
#' containing \code{S} draws of the structural shocks.
#'
#' @seealso \code{\link{estimate}}, \code{\link{normalise_posterior}}, \code{\link{summary}}
#'
#' @author Tomasz Woźniak \email{wozniak.tom@pm.me}
#' 
#' @examples
#' # upload data
#' data(us_fiscal_lsuw)
#' 
#' # specify the model and set seed
#' set.seed(123)
#' specification  = specify_bsvar$new(us_fiscal_lsuw, p = 1)
#' 
#' # run the burn-in
#' burn_in        = estimate(specification, 10)
#' 
#' # estimate the model
#' posterior      = estimate(burn_in, 20)
#' 
#' # compute structural shocks
#' shocks         = compute_structural_shocks(posterior)
#' 
#' # workflow with the pipe |>
#' ############################################################
#' set.seed(123)
#' us_fiscal_lsuw |>
#'   specify_bsvar$new(p = 1) |>
#'   estimate(S = 10) |> 
#'   estimate(S = 20) |> 
#'   compute_structural_shocks() -> ss
#' 
#' @export
compute_structural_shocks <- function(posterior) {
  UseMethod("compute_structural_shocks", posterior)
}





#' @method compute_structural_shocks PosteriorBSVAR
#' 
#' @title Computes posterior draws of structural shocks
#'
#' @description Each of the draws from the posterior estimation of models from
#' packages \pkg{bsvars} or \pkg{bsvarSIGNs} is transformed into
#' a draw from the posterior distribution of the structural shocks. 
#' 
#' @param posterior posterior estimation outcome - an object of class 
#' \code{PosteriorBSVAR} obtained by running the \code{estimate} function.
#' 
#' @return An object of class PosteriorShocks, that is, an \code{NxTxS} array with attribute PosteriorShocks 
#' containing \code{S} draws of the structural shocks.
#'
#' @seealso \code{\link{estimate}}, \code{\link{normalise_posterior}}, \code{\link{summary}}
#'
#' @author Tomasz Woźniak \email{wozniak.tom@pm.me}
#' 
#' @examples
#' # upload data
#' data(us_fiscal_lsuw)
#' 
#' # specify the model and set seed
#' set.seed(123)
#' specification  = specify_bsvar$new(us_fiscal_lsuw, p = 1)
#' 
#' # run the burn-in
#' burn_in        = estimate(specification, 10)
#' 
#' # estimate the model
#' posterior      = estimate(burn_in, 20)
#' 
#' # compute structural shocks
#' shocks         = compute_structural_shocks(posterior)
#' 
#' # workflow with the pipe |>
#' ############################################################
#' set.seed(123)
#' us_fiscal_lsuw |>
#'   specify_bsvar$new(p = 1) |>
#'   estimate(S = 10) |> 
#'   estimate(S = 20) |> 
#'   compute_structural_shocks() -> ss
#' 
#' @export
compute_structural_shocks.PosteriorBSVAR <- function(posterior) {

  posterior_B     = posterior$posterior$B
  posterior_A     = posterior$posterior$A
  Y               = posterior$last_draw$data_matrices$Y
  X               = posterior$last_draw$data_matrices$X

  ss              = .Call(`_bsvars_bsvars_structural_shocks`, posterior_B, posterior_A, Y, X)
  class(ss)       = "PosteriorShocks"
  S               = dim(ss)[3]     
  dimnames(ss)    = list(rownames(Y), colnames(Y), 1:S)

  return(ss)
}





#' @method compute_structural_shocks PosteriorBSVARMSH
#' 
#' @title Computes posterior draws of structural shocks
#'
#' @description Each of the draws from the posterior estimation of models from
#' packages \pkg{bsvars} or \pkg{bsvarSIGNs} is transformed into
#' a draw from the posterior distribution of the structural shocks. 
#' 
#' @param posterior posterior estimation outcome - an object of class 
#' \code{PosteriorBSVARMSH} obtained by running the \code{estimate} function.
#' 
#' @return An object of class PosteriorShocks, that is, an \code{NxTxS} array with attribute PosteriorShocks 
#' containing \code{S} draws of the structural shocks.
#'
#' @seealso \code{\link{estimate}}, \code{\link{normalise_posterior}}, \code{\link{summary}}
#'
#' @author Tomasz Woźniak \email{wozniak.tom@pm.me}
#' 
#' @examples
#' # upload data
#' data(us_fiscal_lsuw)
#' 
#' # specify the model and set seed
#' set.seed(123)
#' specification  = specify_bsvar_msh$new(us_fiscal_lsuw, p = 1, M = 2)
#' 
#' # run the burn-in
#' burn_in        = estimate(specification, 10)
#' 
#' # estimate the model
#' posterior      = estimate(burn_in, 20)
#' 
#' # compute structural shocks
#' shocks         = compute_structural_shocks(posterior)
#' 
#' # workflow with the pipe |>
#' ############################################################
#' set.seed(123)
#' us_fiscal_lsuw |>
#'   specify_bsvar_msh$new(p = 1, M = 2) |>
#'   estimate(S = 10) |> 
#'   estimate(S = 20) |> 
#'   compute_structural_shocks() -> ss
#'   
#' @export
compute_structural_shocks.PosteriorBSVARMSH <- function(posterior) {

  posterior_B     = posterior$posterior$B
  posterior_A     = posterior$posterior$A
  Y               = posterior$last_draw$data_matrices$Y
  X               = posterior$last_draw$data_matrices$X

  ss              = .Call(`_bsvars_bsvars_structural_shocks`, posterior_B, posterior_A, Y, X)
  class(ss)       = "PosteriorShocks"
  S               = dim(ss)[3]     
  dimnames(ss)    = list(rownames(Y), colnames(Y), 1:S)

  return(ss)
}





#' @method compute_structural_shocks PosteriorBSVARMIX
#' 
#' @title Computes posterior draws of structural shocks
#'
#' @description Each of the draws from the posterior estimation of models from
#' packages \pkg{bsvars} or \pkg{bsvarSIGNs} is transformed into
#' a draw from the posterior distribution of the structural shocks. 
#' 
#' @param posterior posterior estimation outcome - an object of class 
#' \code{PosteriorBSVARMIX} obtained by running the \code{estimate} function.
#' 
#' @return An object of class PosteriorShocks, that is, an \code{NxTxS} array with attribute PosteriorShocks 
#' containing \code{S} draws of the structural shocks.
#'
#' @seealso \code{\link{estimate}}, \code{\link{normalise_posterior}}, \code{\link{summary}}
#'
#' @author Tomasz Woźniak \email{wozniak.tom@pm.me}
#' 
#' @examples
#' # upload data
#' data(us_fiscal_lsuw)
#' 
#' # specify the model and set seed
#' set.seed(123)
#' specification  = specify_bsvar_mix$new(us_fiscal_lsuw, p = 1, M = 2)
#' 
#' # run the burn-in
#' burn_in        = estimate(specification, 10)
#' 
#' # estimate the model
#' posterior      = estimate(burn_in, 20)
#' 
#' # compute structural shocks
#' shocks         = compute_structural_shocks(posterior)
#' 
#' # workflow with the pipe |>
#' ############################################################
#' set.seed(123)
#' us_fiscal_lsuw |>
#'   specify_bsvar_mix$new(p = 1, M = 2) |>
#'   estimate(S = 10) |> 
#'   estimate(S = 20) |> 
#'   compute_structural_shocks() -> ss
#' 
#' @export
compute_structural_shocks.PosteriorBSVARMIX <- function(posterior) {
  
  posterior_B     = posterior$posterior$B
  posterior_A     = posterior$posterior$A
  Y               = posterior$last_draw$data_matrices$Y
  X               = posterior$last_draw$data_matrices$X
  
  ss              = .Call(`_bsvars_bsvars_structural_shocks`, posterior_B, posterior_A, Y, X)
  class(ss)       = "PosteriorShocks"
  S               = dim(ss)[3]     
  dimnames(ss)    = list(rownames(Y), colnames(Y), 1:S)
  
  return(ss)
}





#' @method compute_structural_shocks PosteriorBSVARSV
#' 
#' @title Computes posterior draws of structural shocks
#'
#' @description Each of the draws from the posterior estimation of models from
#' packages \pkg{bsvars} or \pkg{bsvarSIGNs} is transformed into
#' a draw from the posterior distribution of the structural shocks. 
#' 
#' @param posterior posterior estimation outcome - an object of class 
#' \code{PosteriorBSVARSV} obtained by running the \code{estimate} function.
#' 
#' @return An object of class PosteriorShocks, that is, an \code{NxTxS} array with attribute PosteriorShocks 
#' containing \code{S} draws of the structural shocks.
#'
#' @seealso \code{\link{estimate}}, \code{\link{normalise_posterior}}, \code{\link{summary}}
#'
#' @author Tomasz Woźniak \email{wozniak.tom@pm.me}
#' 
#' @examples
#' # upload data
#' data(us_fiscal_lsuw)
#' 
#' # specify the model and set seed
#' set.seed(123)
#' specification  = specify_bsvar_sv$new(us_fiscal_lsuw, p = 1)
#' 
#' # run the burn-in
#' burn_in        = estimate(specification, 10)
#' 
#' # estimate the model
#' posterior      = estimate(burn_in, 20)
#' 
#' # compute structural shocks
#' shocks         = compute_structural_shocks(posterior)
#' 
#' # workflow with the pipe |>
#' ############################################################
#' set.seed(123)
#' us_fiscal_lsuw |>
#'   specify_bsvar_sv$new(p = 1) |>
#'   estimate(S = 10) |> 
#'   estimate(S = 20) |> 
#'   compute_structural_shocks() -> ss
#' 
#' @export
compute_structural_shocks.PosteriorBSVARSV <- function(posterior) {
  
  posterior_B     = posterior$posterior$B
  posterior_A     = posterior$posterior$A
  Y               = posterior$last_draw$data_matrices$Y
  X               = posterior$last_draw$data_matrices$X
  
  ss              = .Call(`_bsvars_bsvars_structural_shocks`, posterior_B, posterior_A, Y, X)
  class(ss)       = "PosteriorShocks"
  S               = dim(ss)[3]     
  dimnames(ss)    = list(rownames(Y), colnames(Y), 1:S)
  
  return(ss)
}




#' @method compute_structural_shocks PosteriorBSVART
#' 
#' @title Computes posterior draws of structural shocks
#'
#' @description Each of the draws from the posterior estimation of models from
#' packages \pkg{bsvars} or \pkg{bsvarSIGNs} is transformed into
#' a draw from the posterior distribution of the structural shocks. 
#' 
#' @param posterior posterior estimation outcome - an object of class 
#' \code{PosteriorBSVART} obtained by running the \code{estimate} function.
#' 
#' @return An object of class PosteriorShocks, that is, an \code{NxTxS} array 
#' with attribute PosteriorShocks containing \code{S} draws of the structural shocks.
#'
#' @seealso \code{\link{estimate}}, \code{\link{normalise_posterior}}, \code{\link{summary}}
#'
#' @author Tomasz Woźniak \email{wozniak.tom@pm.me}
#' 
#' @examples
#' # upload data
#' data(us_fiscal_lsuw)
#' 
#' # specify the model and set seed
#' set.seed(123)
#' specification  = specify_bsvar_t$new(us_fiscal_lsuw, p = 1)
#' 
#' # run the burn-in
#' burn_in        = estimate(specification, 10)
#' 
#' # estimate the model
#' posterior      = estimate(burn_in, 20)
#' 
#' # compute structural shocks
#' shocks         = compute_structural_shocks(posterior)
#' 
#' # workflow with the pipe |>
#' ############################################################
#' set.seed(123)
#' us_fiscal_lsuw |>
#'   specify_bsvar_t$new(p = 1) |>
#'   estimate(S = 10) |> 
#'   estimate(S = 20) |> 
#'   compute_structural_shocks() -> ss
#' 
#' @export
compute_structural_shocks.PosteriorBSVART <- function(posterior) {
  
  posterior_B     = posterior$posterior$B
  posterior_A     = posterior$posterior$A
  Y               = posterior$last_draw$data_matrices$Y
  X               = posterior$last_draw$data_matrices$X
  
  ss              = .Call(`_bsvars_bsvars_structural_shocks`, posterior_B, posterior_A, Y, X)
  class(ss)       = "PosteriorShocks"
  S               = dim(ss)[3]     
  dimnames(ss)    = list(rownames(Y), colnames(Y), 1:S)
  
  return(ss)
}