Provides posterior estimation summary for Bayesian Hierarchical Panel Vector Autoregressions
Source:R/summary.R
summary.PosteriorBVARGROUPPANEL.RdProvides posterior mean, standard deviations, as well as 5 and 95
percentiles of the parameters for all C countries.
Usage
# S3 method for class 'PosteriorBVARGROUPPANEL'
summary(object, ...)Arguments
- object
an object of class
PosteriorBVARGROUPPANELobtained using theestimate()function applied to Vector Autoregressions containing draws from the posterior distribution of the parameters.- ...
additional arguments affecting the summary produced.
Value
A list reporting the posterior mean, standard deviations, as well as 5 and 95 percentiles of the country-specific parameters.
Author
Tomasz Woźniak wozniak.tom@pm.me
Examples
# specify the model
specification = specify_bvarGroupPANEL$new(
data = ilo_dynamic_panel[1:5],
exogenous = ilo_exogenous_variables[1:5],
group_allocation = country_grouping_region[1:5]
)
#> Country groupings have been pre-specified and will not be estimated.
burn_in = estimate(specification, 5) # run the burn-in
#> **************************************************|
#> bpvars: Forecasting with Bayesian Panel VARs |
#> **************************************************|
#> Progress of the MCMC simulation for 5 draws
#> Every draw is saved via MCMC thinning
#> Press Esc to interrupt the computations
#> **************************************************|
posterior = estimate(burn_in, 5) # estimate the model
#> **************************************************|
#> bpvars: Forecasting with Bayesian Panel VARs |
#> **************************************************|
#> Progress of the MCMC simulation for 5 draws
#> Every draw is saved via MCMC thinning
#> Press Esc to interrupt the computations
#> **************************************************|
summary(posterior)
#> $AFG
#> $AFG$Sigma
#> $AFG$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.004514197 0.001211388 0.003096646 0.005912799
#>
#> $AFG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.008474015 0.005225405 -0.01440425 -0.002306097
#> Sigma[2,2] 0.190198192 0.031661165 0.14691165 0.213927575
#>
#> $AFG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.01399906 0.01078355 0.0008317442 0.02565587
#> Sigma[3,2] -0.15719839 0.06151024 -0.2288985286 -0.08559100
#> Sigma[3,3] 0.30301613 0.12141512 0.1913587630 0.46126769
#>
#> $AFG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.01259471 0.01053397 -0.0004691174 0.02377217
#> Sigma[4,2] -0.08415405 0.06551135 -0.1659223954 -0.01610788
#> Sigma[4,3] 0.27926614 0.11623728 0.1826118080 0.43593922
#> Sigma[4,4] 0.29748608 0.11209990 0.2074510788 0.44733260
#>
#>
#> $AFG$A
#> $AFG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.96932016 0.02352526 0.95379109 1.00169845
#> lag1_var2 0.06377644 0.08197861 -0.02307204 0.16437886
#> lag1_var3 0.15989470 0.18637415 -0.03549073 0.38762116
#> lag1_var4 -0.14085673 0.16657118 -0.34702943 0.03181252
#> const -0.03605173 0.76383065 -0.82653120 0.93135553
#> exo1 -0.03469108 0.02462551 -0.06710310 -0.01181275
#> exo2 -0.03688994 0.07256787 -0.09877857 0.06059341
#> exo3 -0.16195116 0.07966327 -0.24246682 -0.06032404
#>
#> $AFG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.3013772 0.1221340 0.1776897 0.4466020
#> lag1_var2 0.1959081 0.9819266 -1.0754571 1.1557033
#> lag1_var3 -1.5312374 2.2583100 -4.3795526 0.7824013
#> lag1_var4 1.2617277 2.0356055 -0.8244889 3.8121808
#> const 6.6208652 9.6675845 -4.0934356 18.1407217
#> exo1 -0.2178644 0.5902024 -0.8565723 0.4988122
#> exo2 -0.1107592 0.3213979 -0.5170091 0.2188091
#> exo3 -0.2775630 0.5568061 -0.8432822 0.4329822
#>
#> $AFG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.15605779 0.3012381 -0.5181849 0.1604204
#> lag1_var2 2.20084234 1.6263899 1.0154504 4.4341912
#> lag1_var3 6.38290137 3.5384054 3.3613399 11.1491588
#> lag1_var4 -4.81792216 3.1010636 -8.9637215 -2.0723869
#> const -20.52065366 16.3861258 -42.4983009 -6.8762356
#> exo1 0.05094388 0.7618521 -0.8722518 0.7647346
#> exo2 -1.20909470 0.5109162 -1.6476607 -0.5325919
#> exo3 0.46698377 0.8700164 -0.4329028 1.5699636
#>
#> $AFG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.03421936 0.3217999 -0.4120908 0.2930814
#> lag1_var2 2.28276265 1.5491089 1.1927614 4.4086237
#> lag1_var3 5.80964489 3.3220883 3.3020220 10.3105304
#> lag1_var4 -4.26190783 2.9001044 -8.1629720 -1.9606048
#> const -21.47767974 14.9141704 -42.0006059 -11.0299501
#> exo1 -0.03791454 0.6079399 -0.7569310 0.4409251
#> exo2 -1.38141818 0.6946522 -1.9371424 -0.4542304
#> exo3 0.42045246 0.8461155 -0.4167599 1.4642163
#>
#>
#>
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.02438794 0.005626363 0.01791319 0.03089237
#>
#> $AGO$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.02733835 0.007511055 -0.03549704 -0.01941494
#> Sigma[2,2] 0.14290226 0.046347804 0.10624549 0.20607946
#>
#> $AGO$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.06575909 0.01660858 0.0462836 0.08480932
#> Sigma[3,2] -0.10519924 0.02873855 -0.1387622 -0.07242989
#> Sigma[3,3] 0.21380242 0.04571904 0.1599255 0.26341436
#>
#> $AGO$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.048656899 0.01159821 0.03466454 0.06096884
#> Sigma[4,2] 0.008454394 0.02206897 -0.02094405 0.02604300
#> Sigma[4,3] 0.141883083 0.03188213 0.10852250 0.17947256
#> Sigma[4,4] 0.164883964 0.02065763 0.13940610 0.18541606
#>
#>
#> $AGO$A
#> $AGO$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.8396651 0.04428469 0.7822850 0.88082801
#> lag1_var2 0.6567751 0.18209699 0.4534091 0.86207698
#> lag1_var3 0.7404134 0.22232907 0.5308170 1.02851415
#> lag1_var4 -0.7550857 0.20490437 -1.0189945 -0.56974121
#> const 3.7039424 2.35450357 0.8426078 6.31870211
#> exo1 0.0986532 0.15772998 -0.1175542 0.21716209
#> exo2 -0.2277011 0.20226300 -0.4921705 -0.04595733
#> exo3 -0.3744312 0.19719283 -0.5909958 -0.15252199
#>
#> $AGO$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.129108400 0.1186716 -0.005943414 0.2316953
#> lag1_var2 -0.008157508 0.2807475 -0.317301886 0.2682727
#> lag1_var3 -1.161634249 0.3462134 -1.559585068 -0.7798654
#> lag1_var4 1.167174272 0.3096597 0.836904338 1.5186344
#> const -1.781550634 4.5255809 -5.059380857 4.3368875
#> exo1 -0.220455842 0.4441036 -0.595318405 0.3692553
#> exo2 0.514315249 0.2233689 0.280047976 0.7684867
#> exo3 0.103811333 0.4203106 -0.311812658 0.6453205
#>
#> $AGO$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.7008262 0.1336989 -0.8543989 -0.5606020
#> lag1_var2 2.8970936 0.5297046 2.3722146 3.5352466
#> lag1_var3 4.3764256 0.6512857 3.7176032 5.2067261
#> lag1_var4 -3.3083429 0.5928318 -4.0883391 -2.7652989
#> const 7.0936073 6.7525520 -0.1916047 14.0837949
#> exo1 0.3044273 0.3655757 -0.1080150 0.7391559
#> exo2 -2.0538942 0.3848885 -2.4828701 -1.5976073
#> exo3 1.8762924 0.5376893 1.2757993 2.3984912
#>
#> $AGO$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.7427596 0.1529413 -0.8745778 -0.5450600
#> lag1_var2 2.6249369 0.6562144 1.8382280 3.2485349
#> lag1_var3 3.1444967 0.7813547 2.1612972 3.9295836
#> lag1_var4 -2.0287523 0.7130892 -2.8027756 -1.1680191
#> const 5.9352798 7.6924864 -3.9834079 12.9040559
#> exo1 0.1232145 0.4604985 -0.5099318 0.4495792
#> exo2 -1.9724504 0.3069879 -2.3277842 -1.6241543
#> exo3 2.3650845 0.4330527 1.7806265 2.6846536
#>
#>
#>
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.002299282 0.0009724701 0.001440099 0.003527759
#>
#> $ALB$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.05820051 0.04795644 -0.1234617 -0.03343779
#> Sigma[2,2] 7.17413543 3.21605525 4.3626772 11.40173296
#>
#> $ALB$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.008269728 0.04607925 -0.04460036 0.06283154
#> Sigma[3,2] -4.340186898 2.38075560 -7.27824308 -1.91169967
#> Sigma[3,3] 5.289354869 1.99003594 3.83293194 7.90093214
#>
#> $ALB$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.03552375 0.03221577 -0.07802718 -0.005760738
#> Sigma[4,2] 0.55786194 0.69787228 -0.18994830 1.420603072
#> Sigma[4,3] 2.73782425 1.59329437 1.30046125 4.802865418
#> Sigma[4,4] 3.61517773 1.64204638 1.99096907 5.625735141
#>
#>
#> $ALB$A
#> $ALB$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.007496869 0.009960283 0.9965059299 1.0179219956
#> lag1_var2 0.020708590 0.018803109 0.0034826442 0.0453196492
#> lag1_var3 0.021741159 0.025615173 -0.0006129721 0.0555055451
#> lag1_var4 -0.018667292 0.021094692 -0.0464257737 -0.0009900906
#> const -0.440218099 0.549904323 -1.1131260669 0.1515161496
#> exo1 -0.001984658 0.047281520 -0.0606610996 0.0439591234
#> exo2 -0.039453548 0.096092673 -0.1388207774 0.0820793945
#> exo3 0.077977959 0.011781669 0.0643441167 0.0917640882
#>
#> $ALB$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -3.4229796 0.7729462 -4.2227493 -2.526024
#> lag1_var2 3.4372491 1.4810674 1.9208829 5.120674
#> lag1_var3 4.7859195 2.4393352 2.2604425 7.436121
#> lag1_var4 -3.9144912 1.9860396 -6.0737291 -1.849762
#> const 33.0256760 26.7405974 -0.3570131 59.922729
#> exo1 -0.8872356 3.6343124 -3.1019888 4.111792
#> exo2 0.8666582 3.9980998 -4.1428286 4.965040
#> exo3 -0.2572260 2.1727192 -3.1454053 1.647820
#>
#> $ALB$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 2.6375463 1.164239 1.116940 3.74732925
#> lag1_var2 -4.0535276 2.446599 -6.367413 -1.13083069
#> lag1_var3 -5.7479368 3.801047 -9.279826 -1.23719754
#> lag1_var4 5.5040277 3.103367 1.780811 8.42241177
#> const 14.1689686 56.291031 -40.946370 82.55481458
#> exo1 0.1584827 3.397812 -3.465622 4.38064624
#> exo2 -2.4842766 1.820720 -3.991289 -0.02551466
#> exo3 -1.7872271 1.913105 -4.245451 0.10524428
#>
#> $ALB$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.27583617 0.9804699 -0.9871153 1.2127105
#> lag1_var2 -2.49658277 1.9340149 -4.6984188 -0.3480471
#> lag1_var3 -3.60695704 2.9199846 -6.9508742 -0.4281975
#> lag1_var4 3.92204305 2.3951848 1.2843519 6.6937559
#> const 39.92603007 46.0516994 -2.4064982 97.9527242
#> exo1 -0.07988231 3.1132794 -2.6637941 4.0807275
#> exo2 -2.11333144 2.2389652 -3.9580694 0.8622331
#> exo3 -2.27567464 2.2684059 -4.8002944 0.3412177
#>
#>
#>
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.001546016 0.0003657259 0.001147219 0.001985904
#>
#> $ARE$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.003268546 0.002565564 -0.005899824 -0.000180404
#> Sigma[2,2] 0.056329400 0.015968617 0.035200155 0.070687430
#>
#> $ARE$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.01046426 0.007726712 0.00457831 0.02100676
#> Sigma[3,2] -0.06473236 0.040494533 -0.10703643 -0.02200214
#> Sigma[3,3] 0.26634306 0.135917498 0.13686483 0.42971638
#>
#> $ARE$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.008494645 0.006051502 0.003521528 0.016642168
#> Sigma[4,2] -0.022846079 0.032703066 -0.059669037 0.007416392
#> Sigma[4,3] 0.223916007 0.111482402 0.107626450 0.353794140
#> Sigma[4,4] 0.215159016 0.093302760 0.114205589 0.318570594
#>
#>
#> $ARE$A
#> $ARE$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.95912648 0.03268688 0.92758281 0.99482707
#> lag1_var2 0.36495894 0.23561926 0.18109303 0.62563487
#> lag1_var3 0.44363430 0.30836571 0.20336646 0.78216233
#> lag1_var4 -0.43496009 0.31183189 -0.77689949 -0.19559568
#> const 0.39131519 0.56119852 -0.27715863 0.82028675
#> exo1 -0.01709499 0.05264626 -0.07342033 0.04429170
#> exo2 -0.10730437 0.04091412 -0.15668155 -0.06463884
#> exo3 0.01553657 0.06820284 -0.05279034 0.09065971
#>
#> $ARE$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.1676239 0.3994273 -0.15237164 0.7049583
#> lag1_var2 -0.4032692 1.0248685 -1.69549071 0.5045733
#> lag1_var3 -1.4484818 1.2084199 -2.90870020 -0.4069527
#> lag1_var4 1.3540556 1.1545624 0.40519758 2.7093970
#> const 3.4872206 3.5688362 -0.94707887 6.8370255
#> exo1 0.3467519 0.2975885 0.07039422 0.6803309
#> exo2 1.9834002 0.2846050 1.68236995 2.3371946
#> exo3 -0.6060985 0.2549300 -0.94772342 -0.3983089
#>
#> $ARE$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.02833195 0.5774790 -0.7046882 0.5842621
#> lag1_var2 5.27479953 3.4304249 2.5473562 9.4274940
#> lag1_var3 7.59064438 4.5085200 4.0855371 13.0462568
#> lag1_var4 -6.46119359 4.4771952 -11.8434257 -3.0500007
#> const -11.01647496 8.3924659 -19.6211111 -1.0178404
#> exo1 -1.10516973 0.7952946 -1.9053385 -0.1250759
#> exo2 -2.24412743 0.4847572 -2.8207096 -1.7710657
#> exo3 -0.52311370 0.5745569 -0.8985460 0.2713204
#>
#> $ARE$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.08782798 0.5608537 -0.6780138 0.51431902
#> lag1_var2 5.07484501 2.7493068 2.7155322 8.35591663
#> lag1_var3 6.62132954 3.6867603 3.7119312 11.11246410
#> lag1_var4 -5.53014925 3.6835587 -10.0213026 -2.74007151
#> const -9.13605298 7.6262975 -16.5439426 -0.04553513
#> exo1 -0.81920588 0.6462206 -1.3863884 0.02476154
#> exo2 -0.70370475 0.5430112 -1.2146758 -0.02922014
#> exo3 -0.97608971 0.6138117 -1.4801909 -0.14704401
#>
#>
#>
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.002550206 0.0006496251 0.001887717 0.003380053
#>
#> $ARG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.05002908 0.03287485 -0.09454466 -0.03058215
#> Sigma[2,2] 3.03451009 1.17664790 2.19640236 4.61655501
#>
#> $ARG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.03945196 0.02249791 0.02456856 0.07012006
#> Sigma[3,2] -2.22393652 0.75326470 -3.24784974 -1.74056300
#> Sigma[3,3] 1.87028807 0.44673977 1.49748186 2.47132247
#>
#> $ARG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.01098894 0.004605351 0.005165905 0.01556799
#> Sigma[4,2] -0.44558086 0.114337053 -0.551867154 -0.29616413
#> Sigma[4,3] 0.59374712 0.127496562 0.446322455 0.72778834
#> Sigma[4,4] 0.36596343 0.098356485 0.264476936 0.47381347
#>
#>
#> $ARG$A
#> $ARG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.914119614 0.02172507 0.89298954 0.94184432
#> lag1_var2 0.237483628 0.05312968 0.17004735 0.28950092
#> lag1_var3 0.393049994 0.08853845 0.28192853 0.48265339
#> lag1_var4 -0.363774160 0.07956921 -0.43964106 -0.26022408
#> const 0.574353380 0.46872327 0.13781507 1.10948368
#> exo1 0.026001589 0.05587881 -0.04700783 0.07922821
#> exo2 -0.141596569 0.05963877 -0.19254250 -0.07346173
#> exo3 -0.004681989 0.02927165 -0.04474142 0.01615998
#>
#> $ARG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -1.40507338 1.144941 -2.803928 -0.1538222
#> lag1_var2 0.66370070 2.011503 -0.725562 3.4312823
#> lag1_var3 -0.08968873 3.367283 -2.476935 4.5344406
#> lag1_var4 0.60709210 2.913943 -3.413374 2.6145725
#> const 9.39189375 21.510018 -11.253125 33.7594293
#> exo1 -1.17698563 1.106117 -2.263620 0.2499412
#> exo2 1.30728306 1.538290 -0.281036 3.2540314
#> exo3 0.13620795 1.661775 -2.059122 1.4962711
#>
#> $ARG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.5223147 0.8454679 -0.24206488 1.6363656
#> lag1_var2 2.0816668 1.6000834 -0.09829815 3.1646791
#> lag1_var3 4.0982221 2.7112172 0.41198844 5.9759228
#> lag1_var4 -3.3420938 2.3220936 -4.88491142 -0.1396931
#> const -1.1689847 14.1350725 -15.64810193 16.3247886
#> exo1 0.1280512 0.9125937 -1.08920168 0.9292198
#> exo2 -4.9076864 1.3947126 -6.67545339 -3.5400082
#> exo3 2.2752610 1.8693561 0.55624235 4.7120218
#>
#> $ARG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.4699028 0.2930270 -0.769910 -0.10809977
#> lag1_var2 2.4847422 0.5684177 1.719360 2.93902670
#> lag1_var3 4.0390533 0.9724522 2.741087 4.87897503
#> lag1_var4 -2.9152028 0.8083797 -3.628550 -1.83835413
#> const 5.0278746 9.0277690 -6.042420 14.73392702
#> exo1 -0.6850221 0.4860700 -1.151697 -0.08378468
#> exo2 -4.6965962 0.5288929 -5.321242 -4.23741195
#> exo3 2.5451805 0.9682060 1.605330 3.77244069
#>
#>
#>