examples/random_panel_eg.R

In soichiroy/BridgeChange: Bayesian Change-point models with Bridge prior for analyzing time-series and panel data.

####################################
## Alvarez et al. data
####################################
library("pcse")
set.seed(1999)
data("agl")
model = "within"
index = c('country', 'year')
model = 'within'
effect = 'time'
data = agl

#########################
## HMBB estimation
#########################
## Be aware that 100 runs are too short for analysis. 
mcmc = 100; burn = 100; verbose = 100; thin = 1;
formula <- growth ~ lagg1 + opengdp + openex + openimp + leftc + central + inter


agl.cp0 <- BridgeRandomPanel(formula=formula, data = data, index = index, 
                            mcmc=mcmc, , verbose=verbose, Waic = TRUE, 
                            n.break = 0)
agl.cp1 <- BridgeRandomPanel(formula=formula, data = data, index = index, 
                            mcmc=mcmc, , verbose=verbose, Waic = TRUE, 
                            n.break = 1)
agl.cp2 <- BridgeRandomPanel(formula=formula, data = data, index = index, 
                            mcmc=mcmc, , verbose=verbose, Waic = TRUE, 
                            n.break = 2)


## model selection by WAIC
waic <- WaicCompare(list(agl.cp0, agl.cp1, agl.cp2), print = TRUE)
plotWaic(waic)

par(mfrow=c(1, 2))
MCMCpack::plotState(agl.cp1, start=1970, legend.control =c(1970, 0.85), main="One break")
MCMCpack::plotState(agl.cp2, start=1970, legend.control =c(1970, 0.85), main="Two breaks")

####################################
## dotplot over time
## time-varying movements of selected covariates
####################################
## all covariates
dotplotRegime(agl.cp1, hybrid=FALSE, start = 1970, location.bar=12, x.location="default",
              text.cex=0.8, main="Time-varying Movements of All Covariates")

## label as a legend
dotplotRegime(agl.cp1, hybrid=FALSE, start = 1970, location.bar=12, x.location="legend",
              text.cex=0.8, main="Time-varying Movements of All Covariates")

## leftc only
## select works like grep()
dotplotRegime(agl.cp1, hybrid=FALSE, start = 1970, location.bar=12, x.location="static",
              text.cex=0.8, select="left", main=("Time-varying Movements of Left Party"))