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] 0.004165985 0.001521779 0.00301457 0.006251466
#>
#> $AFG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.006870983 0.007407012 -0.01553523 0.001614024
#> Sigma[2,2] 0.175129026 0.039153246 0.14085484 0.220398129
#>
#> $AFG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.005140897 0.01418828 -0.00992504 0.02267118
#> Sigma[3,2] -0.179522268 0.06703885 -0.26059903 -0.11161353
#> Sigma[3,3] 0.349560137 0.13374796 0.25065797 0.53152998
#>
#> $AFG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.002497666 0.01229063 -0.0101249 0.01791467
#> Sigma[4,2] -0.117255159 0.06110713 -0.1933716 -0.05420140
#> Sigma[4,3] 0.310469775 0.12622096 0.2191267 0.48381632
#> Sigma[4,4] 0.298113787 0.12158535 0.2039651 0.46416310
#>
#>
#> $AFG$A
#> $AFG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.97517437 0.01645497 0.95769706 0.99543728
#> lag1_var2 0.23587634 0.02905665 0.20109970 0.26735648
#> lag1_var3 0.52476016 0.04740524 0.48216691 0.58715696
#> lag1_var4 -0.45447748 0.04201888 -0.51157802 -0.42385124
#> const -2.56698553 0.58714560 -3.00598994 -1.76236580
#> exo1 -0.02108678 0.08366432 -0.11462814 0.07463796
#> exo2 0.02532059 0.09606667 -0.06981904 0.14806604
#> exo3 -0.13823158 0.06645618 -0.20008903 -0.05288464
#>
#> $AFG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.22327205 0.1453536 0.02534777 0.3298866
#> lag1_var2 0.97585093 0.1134123 0.88378133 1.1282333
#> lag1_var3 -0.17536758 0.3436312 -0.58556551 0.2148116
#> lag1_var4 0.17363627 0.3003687 -0.16188937 0.5356139
#> const -5.38671339 4.8837811 -9.41662009 1.0309400
#> exo1 -0.05982642 0.2238348 -0.30851228 0.1713302
#> exo2 -0.01344292 0.2955067 -0.39193215 0.1993741
#> exo3 0.03636780 0.2845575 -0.30634464 0.3499901
#>
#> $AFG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.02019793 0.1936595 -0.18424999 0.2481485
#> lag1_var2 0.10613414 0.1229965 -0.02150253 0.2597137
#> lag1_var3 2.07801105 0.3248554 1.67834688 2.4257936
#> lag1_var4 -1.09438620 0.2718475 -1.37910485 -0.7527267
#> const 3.45606664 5.2308416 -3.07984888 8.9894510
#> exo1 -0.18365519 0.1625827 -0.34637562 0.0244447
#> exo2 -1.01744993 0.5100154 -1.60350390 -0.4174861
#> exo3 -0.20976291 0.7036926 -0.83553664 0.6840774
#>
#> $AFG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.1370478 0.1695139 -0.0518174 0.3054023
#> lag1_var2 0.6609616 0.1653147 0.4845240 0.8595273
#> lag1_var3 2.3183980 0.3369260 1.9018157 2.6173046
#> lag1_var4 -1.1724483 0.2851849 -1.4851767 -0.8350766
#> const -6.5552292 4.8586251 -11.4825363 -0.6376168
#> exo1 -0.2513109 0.1858791 -0.4996814 -0.1132089
#> exo2 -1.0818601 0.5304091 -1.6349239 -0.4398510
#> exo3 -0.1080558 0.6577602 -0.7582407 0.7143796
#>
#>
#>
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.005747989 0.001103389 0.004891033 0.007234799
#>
#> $AGO$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.00800433 0.004313213 -0.01225860 -0.002890832
#> Sigma[2,2] 0.13627276 0.031425813 0.09456164 0.164986000
#>
#> $AGO$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.009570222 0.002623531 0.007087158 0.01248988
#> Sigma[3,2] -0.055976967 0.015377361 -0.075102972 -0.03963740
#> Sigma[3,3] 0.048180153 0.014557338 0.038888790 0.06829786
#>
#> $AGO$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.005136339 0.004132195 -1.617007e-05 0.009470927
#> Sigma[4,2] 0.055685105 0.015355683 3.618476e-02 0.070535596
#> Sigma[4,3] 0.008771183 0.009566652 3.057324e-04 0.020508270
#> Sigma[4,4] 0.063632791 0.011858545 5.003694e-02 0.077003510
#>
#>
#> $AGO$A
#> $AGO$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.92685952 0.01515888 0.91381688 0.94672447
#> lag1_var2 0.44554886 0.01802861 0.43203344 0.46945056
#> lag1_var3 0.60822362 0.02150010 0.57975637 0.62780401
#> lag1_var4 -0.54208621 0.01551289 -0.55280157 -0.52092256
#> const -2.88216995 0.91213875 -4.00340726 -2.04486030
#> exo1 0.07960004 0.08854784 -0.01419258 0.17614495
#> exo2 -0.04038635 0.09230235 -0.15712493 0.03123364
#> exo3 -0.11930050 0.02884893 -0.15800463 -0.09488096
#>
#> $AGO$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.12217314 0.10927766 -0.01768757 0.2322389
#> lag1_var2 0.53986947 0.09560795 0.45423520 0.6672663
#> lag1_var3 -0.63643506 0.12950251 -0.79720203 -0.5023292
#> lag1_var4 0.64928233 0.08176916 0.55108519 0.7176574
#> const -4.55448814 3.96688985 -9.12320290 -0.2017646
#> exo1 0.02119811 0.37542695 -0.36523647 0.4910710
#> exo2 0.34490947 0.15656027 0.13359181 0.4772406
#> exo3 -0.55087890 0.21481483 -0.83284808 -0.3595610
#>
#> $AGO$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.42807093 0.07781651 -0.4976253 -0.3255997
#> lag1_var2 0.69845377 0.05429670 0.6540250 0.7671550
#> lag1_var3 1.97013759 0.15993502 1.8116887 2.1453172
#> lag1_var4 -0.99135001 0.09710548 -1.0947158 -0.8867850
#> const 12.90176879 3.86586242 8.3292918 16.9076239
#> exo1 0.09162583 0.20030239 -0.1458738 0.2974025
#> exo2 -1.49241120 0.10798170 -1.6053980 -1.3757500
#> exo3 2.79126891 0.16306242 2.6229012 2.9838657
#>
#> $AGO$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.4755518 0.09947211 -0.57218125 -0.3479138
#> lag1_var2 1.1880456 0.07841817 1.11288402 1.2848740
#> lag1_var3 1.5961309 0.12926144 1.47672435 1.7655954
#> lag1_var4 -0.4996283 0.06162402 -0.57287996 -0.4328348
#> const 4.8050968 4.05310879 -0.36379638 8.8119912
#> exo1 0.1218803 0.19386113 -0.09255926 0.2786414
#> exo2 -1.5259733 0.10254177 -1.63841569 -1.4222243
#> exo3 2.6861374 0.25083402 2.48319184 3.0252924
#>
#>
#>
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.003393878 0.0008732681 0.002648383 0.004533716
#>
#> $ALB$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.08623963 0.02173968 -0.108029 -0.0613061
#> Sigma[2,2] 8.07216839 1.01763386 6.833096 9.1592714
#>
#> $ALB$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.0531474 0.006080657 0.04641078 0.06048644
#> Sigma[3,2] -5.4825157 0.610336976 -6.11757433 -4.72070382
#> Sigma[3,3] 5.5110644 0.639777816 4.97403814 6.21133535
#>
#> $ALB$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.004254994 0.01158983 -0.01413193 0.009459027
#> Sigma[4,2] -0.118175120 0.55871058 -0.72319101 0.496282728
#> Sigma[4,3] 2.217874973 0.52623923 1.63721284 2.849981717
#> Sigma[4,4] 2.573489546 0.38025051 2.28617156 3.092346280
#>
#>
#> $ALB$A
#> $ALB$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.02283746 0.04295441 0.97551468 1.06816523
#> lag1_var2 0.08214379 0.01703904 0.05976597 0.09665435
#> lag1_var3 0.11190666 0.03241815 0.06957629 0.13925431
#> lag1_var4 -0.09085549 0.02783729 -0.11499742 -0.05537939
#> const -1.97548197 0.82936367 -2.66062710 -1.05539342
#> exo1 0.02778103 0.06596630 -0.04636209 0.09407699
#> exo2 0.01636125 0.05979535 -0.03363601 0.08641928
#> exo3 0.12253425 0.06223069 0.05635526 0.19936784
#>
#> $ALB$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -3.539254 2.122386 -5.7092895 -0.8592443
#> lag1_var2 2.315190 1.021435 1.0879320 3.4633654
#> lag1_var3 3.324156 1.813084 0.9799505 4.9833107
#> lag1_var4 -2.720080 1.492535 -3.9584709 -0.7461586
#> const 55.530576 51.163188 -6.0665645 105.6200234
#> exo1 -1.099935 3.796912 -5.3783855 3.3824934
#> exo2 -3.894675 3.088067 -7.8124546 -1.1350540
#> exo3 -1.108312 1.471794 -2.8232231 0.5105913
#>
#> $ALB$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.4817353 2.113339 -0.9462038 3.9501501
#> lag1_var2 -0.8433592 1.476036 -2.6058735 0.7959519
#> lag1_var3 -0.9559098 2.603973 -4.0961601 1.9220103
#> lag1_var4 1.4544666 2.225692 -0.9231876 4.1915722
#> const -9.1624296 50.610277 -67.3841378 44.5202560
#> exo1 -0.8924143 4.301790 -5.6581021 4.1282983
#> exo2 1.9651914 1.192761 0.5260119 3.1039740
#> exo3 0.6388307 1.823630 -1.3168016 2.6862725
#>
#> $ALB$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -1.03616084 0.9543998 -1.792263 0.2379283
#> lag1_var2 0.51599301 1.5719899 -1.549872 1.8310190
#> lag1_var3 1.05642310 2.4575295 -2.166751 3.1799216
#> lag1_var4 -0.04338666 2.0753758 -1.847363 2.6915730
#> const 24.73222851 27.7808800 -4.302225 57.5019964
#> exo1 -1.41705493 2.9854640 -5.106633 1.3129024
#> exo2 -0.60871677 1.9991217 -2.598299 1.9072449
#> exo3 -0.13908807 1.7903581 -2.416433 1.6848763
#>
#>
#>
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.00149924 0.0003369432 0.001248735 0.001961696
#>
#> $ARE$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.003043555 0.001787518 -0.005494834 -0.001816384
#> Sigma[2,2] 0.051335994 0.016405097 0.037660105 0.073509543
#>
#> $ARE$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.003958601 0.002575259 0.00066674 0.006283974
#> Sigma[3,2] -0.056392837 0.020529131 -0.08348685 -0.040064612
#> Sigma[3,3] 0.185631000 0.028211098 0.15854127 0.221903966
#>
#> $ARE$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.001847605 0.002053358 -0.0006115494 0.004084204
#> Sigma[4,2] -0.016613310 0.016090071 -0.0338336800 0.002290178
#> Sigma[4,3] 0.144473411 0.029159615 0.1103227722 0.178071965
#> Sigma[4,4] 0.134909174 0.030094453 0.0938241545 0.158194877
#>
#>
#> $ARE$A
#> $ARE$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.96915717 0.02415505 0.94769886 1.001082998
#> lag1_var2 0.45663866 0.02205954 0.44537375 0.486494862
#> lag1_var3 0.57560417 0.02942343 0.54967710 0.613711258
#> lag1_var4 -0.55880976 0.02506345 -0.58877192 -0.532817370
#> const -0.46777319 0.33032813 -0.81335570 -0.056118256
#> exo1 -0.03459413 0.03061544 -0.06985780 -0.004433357
#> exo2 -0.05491785 0.02620754 -0.08704169 -0.027031910
#> exo3 0.01168346 0.06171524 -0.05716099 0.083764575
#>
#> $ARE$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.2791800 0.2056627 0.07095729 0.5409316
#> lag1_var2 0.2913234 0.2306991 -0.02087749 0.4154329
#> lag1_var3 -0.5046650 0.2287685 -0.81566887 -0.3385062
#> lag1_var4 0.4173039 0.1747173 0.27864052 0.6535575
#> const 0.1204886 2.2556156 -1.60230922 3.2080164
#> exo1 0.1561615 0.1450500 -0.01624955 0.2813707
#> exo2 1.9627862 0.3826820 1.49506302 2.3528393
#> exo3 -0.5318237 0.2417533 -0.78485643 -0.2479276
#>
#> $ARE$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.3309774 0.33920684 -0.6195122 0.06197877
#> lag1_var2 0.6859116 0.11475681 0.5514521 0.79387810
#> lag1_var3 1.3786660 0.07328909 1.3149197 1.47378187
#> lag1_var4 -0.2999733 0.20913473 -0.5570067 -0.11921871
#> const 1.9287441 2.12990419 -0.4858538 4.38917216
#> exo1 -0.6338064 0.52948933 -1.3395448 -0.17645052
#> exo2 -2.4269099 0.43584458 -2.7393418 -1.83429269
#> exo3 -1.3987429 0.75345445 -2.1986550 -0.61549404
#>
#> $ARE$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.14606793 0.2321325 -0.3631425 0.1154335
#> lag1_var2 0.92620196 0.1523036 0.7354004 1.0784392
#> lag1_var3 1.00854268 0.2312126 0.6963691 1.1856110
#> lag1_var4 0.03586789 0.2893653 -0.2356180 0.3977172
#> const 0.27998937 1.4188005 -1.5059113 1.6743525
#> exo1 -0.53282573 0.4753650 -1.1611307 -0.1317516
#> exo2 -0.92547617 0.2536081 -1.2324381 -0.6535474
#> exo3 -1.86280565 0.6129865 -2.4988495 -1.2043667
#>
#>
#>
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.003375029 0.0004275961 0.002847797 0.003830718
#>
#> $ARG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.0570603 0.01076633 -0.06966647 -0.04665538
#> Sigma[2,2] 2.8131993 0.10730440 2.69154167 2.93915372
#>
#> $ARG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.04138456 0.0103703 0.02897704 0.05286408
#> Sigma[3,2] -2.06967455 0.1855000 -2.27436530 -1.84554111
#> Sigma[3,3] 1.78383052 0.1975900 1.55077102 2.01116167
#>
#> $ARG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.00817119 0.006170875 0.0005919187 0.01393075
#> Sigma[4,2] -0.39070749 0.137530023 -0.5377118629 -0.22250269
#> Sigma[4,3] 0.57686195 0.103813035 0.4624752237 0.70016979
#> Sigma[4,4] 0.37663066 0.044636745 0.3378702282 0.43391649
#>
#>
#> $ARG$A
#> $ARG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.839173067 0.04005875 0.80631241 0.89334473
#> lag1_var2 0.582963567 0.03667662 0.53412851 0.61535960
#> lag1_var3 0.957823202 0.06593381 0.87122941 1.01841382
#> lag1_var4 -0.870191618 0.05598379 -0.92297963 -0.79718198
#> const -0.972147650 1.57031794 -2.85272294 0.79940655
#> exo1 0.030726285 0.07171968 -0.04596661 0.11971043
#> exo2 -0.131279874 0.06863115 -0.22248781 -0.07109887
#> exo3 -0.006647491 0.05901768 -0.08669193 0.04067101
#>
#> $ARG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -1.7652349 0.9096865 -2.7305851 -0.7854987
#> lag1_var2 -0.6642820 0.8687201 -1.4510132 0.3225557
#> lag1_var3 -2.3017847 1.5096659 -3.7792493 -0.5748524
#> lag1_var4 2.6809908 1.5918813 0.9506815 4.2664307
#> const 27.0335834 27.3788623 0.8959503 61.4406643
#> exo1 -1.0113233 1.6876864 -3.0446526 0.8348340
#> exo2 3.5651944 3.7858191 -0.5105668 7.4936424
#> exo3 -0.7498964 2.5694671 -3.5350658 2.3968566
#>
#> $ARG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.8789991 0.3688853 0.5545525 1.3553008
#> lag1_var2 0.9365838 0.5254340 0.3666884 1.4869320
#> lag1_var3 2.2702277 0.9382629 1.2169231 3.2996445
#> lag1_var4 -1.7124392 0.9657635 -2.8252870 -0.7413954
#> const 1.7856504 16.3654236 -17.2037733 19.9216984
#> exo1 0.1695233 1.3787616 -1.5307020 1.6648187
#> exo2 -6.3460404 2.8758802 -9.1661674 -3.2575784
#> exo3 3.5535378 1.5163831 2.0283086 5.2956390
#>
#> $ARG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.2639679 0.3419495 -0.6215429 0.14841408
#> lag1_var2 0.5601483 0.1970008 0.2905637 0.70139159
#> lag1_var3 0.9095583 0.3035248 0.4930075 1.12790451
#> lag1_var4 -0.0369990 0.3497420 -0.2840520 0.44264215
#> const 14.9666215 9.2116681 2.7301007 22.80533882
#> exo1 -0.5226451 0.5139457 -1.1869177 -0.02660268
#> exo2 -4.7121722 0.6724931 -5.3414715 -3.92250281
#> exo3 3.4229074 0.6214646 2.7243316 4.13429332
#>
#>
#>