post_normal_sur: Posterior Draw from a Normal Distribution

In franzmohr/bvartools: Bayesian Inference of Vector Autoregressive and Error Correction Models

Posterior Draw from a Normal Distribution

Description

Produces a draw of coefficients from a normal posterior density for a model with seemingly unrelated regresssions (SUR).

Usage

post_normal_sur(y, z, sigma_i, a_prior, v_i_prior, svd = FALSE)

Arguments

y	a K \times T matrix of endogenous variables.
z	a KT \times M matrix of explanatory variables.
sigma_i	the inverse of the constant K \times K error variance-covariance matrix. For time varying variance-covariance matrics a KT \times K can be provided.
a_prior	a M x 1 numeric vector of prior means.
v_i_prior	the inverse of the M x M prior covariance matrix.
svd	logical. If TRUE the singular value decomposition is used to determine the root of the posterior covariance matrix. Default is FALSE which means that the eigenvalue decomposition is used.

Details

The function produces a posterior draw of the coefficient vector a for the model

y_{t} = Z_{t} a + u_{t},

where u_t \sim N(0, \Sigma_{t}). y_t is a K-dimensional vector of endogenous variables and Z_t = z_t^{\prime} \otimes I_K is a K \times KM matrix of regressors with z_t as a vector of regressors.

For a given prior mean vector \underline{a} and prior covariance matrix \underline{V} the posterior covariance matrix is obtained by

\overline{V} = \left[ \underline{V}^{-1} + \sum_{t=1}^{T} Z_{t}^{\prime} \Sigma_{t}^{-1} Z_{t} \right]^{-1}

and the posterior mean by

\overline{a} = \overline{V} \left[ \underline{V}^{-1} \underline{a} + \sum_{t=1}^{T} Z_{t}^{\prime} \Sigma_{t}^{-1} y_{t} \right].

Value

A vector.

Examples

# Load data
data("e1")
data <- diff(log(e1))

# Generate model data
temp <- gen_var(data, p = 2, deterministic = "const")
y <- t(temp$data$Y)
z <- temp$data$SUR
k <- nrow(y)
tt <- ncol(y)
m <- ncol(z)

# Priors
a_mu_prior <- matrix(0, m)
a_v_i_prior <- diag(0.1, m)

# Initial value of inverse Sigma
sigma_i <- solve(tcrossprod(y) / tt)

# Draw parameters
a <- post_normal_sur(y = y, z = z, sigma_i = sigma_i,
                     a_prior = a_mu_prior, v_i_prior = a_v_i_prior)

franzmohr/bvartools documentation built on Jan. 28, 2024, 4:06 a.m.