vcov.qpm_estimate: Posterior covariance and credible intervals

In qpmR: Quarterly Projection Models for Monetary Policy Analysis

Posterior covariance and credible intervals

Description

Posterior covariance and credible intervals

Usage

## S3 method for class 'qpm_estimate'
vcov(object, ...)

## S3 method for class 'qpm_estimate'
confint(object, parm = NULL, level = 0.9, ...)

Arguments

object	A qpm_estimate.
...	Unused.
parm	Parameters to report; default all.
level	Credible level.

Value

vcov() returns the posterior covariance matrix of the estimated parameters; confint() returns equal-tailed posterior credible intervals (posterior quantiles, not asymptotic intervals).

Examples

m <- qpm_model(variables = vars(x = "x"), shocks = shocks(e),
               equations = eqs(x ~ rho * x[-1] + e),
               params = list(rho = 0.5))
obs <- simulate(qpm_solve(qpm_calibrate(m, rho = 0.8)), nsim = 120, seed = 1)
est <- qpm_estimate(m, obs, priors(rho = beta(0.5, 0.2)),
                    iter = 300, chains = 1, seed = 2, verbose = FALSE)
vcov(est)
confint(est)

qpmR documentation built on Sept. 29, 2026, 5:10 p.m.