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] 0.009502634 0.001940302 0.007117072 0.01099619
#>
#> $AFG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] 0.01101493 0.008591342 -5.935751e-05 0.01954183
#> Sigma[2,2] 0.27287835 0.040283313 2.202136e-01 0.30735955
#>
#> $AFG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] -0.01583334 0.008487118 -0.02434665 -0.005685754
#> Sigma[3,2] -0.23756745 0.053045704 -0.29045450 -0.170883890
#> Sigma[3,3] 0.35086394 0.076589995 0.29219968 0.450546520
#>
#> $AFG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.01142031 0.005320035 -0.01709997 -0.005931156
#> Sigma[4,2] -0.12997574 0.054379096 -0.19503451 -0.076429724
#> Sigma[4,3] 0.27657027 0.065526293 0.22204889 0.360410992
#> Sigma[4,4] 0.24806190 0.051532748 0.19150928 0.307772067
#>
#>
#> $AFG$A
#> $AFG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.96279753 0.01046948 0.95071628 0.97500571
#> lag1_var2 0.91062886 0.05044701 0.85528040 0.95064642
#> lag1_var3 2.04101445 0.09375226 1.93681356 2.12274118
#> lag1_var4 -1.78671516 0.06927680 -1.84702395 -1.70819858
#> const -10.61228958 1.32906514 -11.85156958 -9.14546372
#> exo1 -0.01432777 0.06164281 -0.07684334 0.05701614
#> exo2 0.14430145 0.08741994 0.04344400 0.22118781
#> exo3 0.00948935 0.07976021 -0.08768625 0.09641260
#>
#> $AFG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.1304221 0.09259331 0.010324301 0.21446850
#> lag1_var2 2.4662992 0.44872880 1.991978641 3.00416761
#> lag1_var3 3.3836080 0.76784607 2.599614463 4.27330420
#> lag1_var4 -2.9801499 0.60025434 -3.676313752 -2.36733922
#> const -20.7264692 8.02093872 -30.251744525 -12.91208344
#> exo1 -0.1717045 0.29434507 -0.556929137 0.09477648
#> exo2 0.8394822 0.67147554 0.013962963 1.45910885
#> exo3 0.5668895 0.45871896 -0.003357179 1.04180716
#>
#> $AFG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.03229964 0.2158195 -0.2202531 0.27773740
#> lag1_var2 0.15267692 0.5325995 -0.3531481 0.73246744
#> lag1_var3 1.72557756 0.9085903 0.8244425 2.72234185
#> lag1_var4 -0.68862200 0.7216258 -1.4857889 0.08139149
#> const -1.18037115 8.9373665 -12.1449912 7.36781201
#> exo1 0.33652434 0.6121472 -0.4767613 0.89377924
#> exo2 -1.75838638 0.5146813 -2.0835848 -1.04615557
#> exo3 -0.25285401 0.4273506 -0.8046983 0.16558309
#>
#> $AFG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.1027466 0.2277364 -0.1715649 0.3256779
#> lag1_var2 1.5447330 0.4172267 1.1756807 1.9970263
#> lag1_var3 3.8772697 0.7119006 3.1603025 4.6672630
#> lag1_var4 -2.4438190 0.5743700 -3.0835823 -1.8070950
#> const -20.6081415 7.0419228 -29.8178549 -14.5102670
#> exo1 0.3253432 0.6131855 -0.4688544 0.9241052
#> exo2 -1.4723117 0.3163068 -1.6786599 -1.0366257
#> exo3 0.1134872 0.3346732 -0.3107393 0.4220095
#>
#>
#>
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.01125621 0.00486945 0.005209063 0.01634618
#>
#> $AGO$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.01187538 0.007543738 -0.01839377 -0.001762754
#> Sigma[2,2] 0.14313224 0.027491112 0.11690596 0.177419690
#>
#> $AGO$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.01011076 0.003311485 0.006559414 0.01399438
#> Sigma[3,2] -0.06077676 0.013288006 -0.072313289 -0.04464935
#> Sigma[3,3] 0.04426242 0.011335264 0.033084673 0.05886563
#>
#> $AGO$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.0007351237 0.003435192 -0.001876975 0.005362656
#> Sigma[4,2] 0.0571053640 0.016216900 0.043809761 0.078723657
#> Sigma[4,3] -0.0017989709 0.009960426 -0.014644873 0.007697272
#> Sigma[4,4] 0.0510118490 0.008923060 0.039488488 0.059432655
#>
#>
#> $AGO$A
#> $AGO$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.99185031 0.04675597 0.95619463 1.05388207
#> lag1_var2 -0.63164159 0.46524618 -1.03457882 -0.02037528
#> lag1_var3 -0.80399104 0.62968550 -1.38765896 0.01506843
#> lag1_var4 0.70626088 0.54354056 -0.00915419 1.17962876
#> const 7.96900418 5.65766005 1.07559203 14.19357825
#> exo1 0.09344614 0.04107305 0.04369429 0.13907751
#> exo2 -0.01851830 0.18882297 -0.14531708 0.24076550
#> exo3 0.09877254 0.19867986 -0.05638883 0.33033759
#>
#> $AGO$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.05193925 0.1019838 -0.01830807 0.1889341
#> lag1_var2 0.30249094 0.7595623 -0.31321193 1.3098018
#> lag1_var3 -0.96924923 1.0710401 -1.90478120 0.4474186
#> lag1_var4 0.90595468 0.9096673 -0.27254666 1.6702056
#> const 2.71803614 14.1900802 -16.08218906 15.1007480
#> exo1 -0.05812117 0.3175870 -0.40222505 0.3043785
#> exo2 0.29568018 0.1896182 0.08665704 0.5161535
#> exo3 -0.68992983 0.5324907 -1.31467008 -0.1041209
#>
#> $AGO$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.2360788 0.06958963 -0.3279425 -0.1739365
#> lag1_var2 0.1208105 0.42894289 -0.4408920 0.4982178
#> lag1_var3 1.1849798 0.53376645 0.4988266 1.6998694
#> lag1_var4 -0.2319771 0.51415879 -0.6950886 0.4388900
#> const 9.7389367 1.44042419 8.0310544 11.3428393
#> exo1 0.1621091 0.27603693 -0.2114432 0.3841067
#> exo2 -1.4758992 0.18472659 -1.6983283 -1.2771625
#> exo3 3.1155796 0.22304048 2.9186545 3.4098276
#>
#> $AGO$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.2729807 0.04366055 -0.3239848 -0.2342659
#> lag1_var2 0.2950016 0.40702620 -0.2141486 0.7247396
#> lag1_var3 0.3668135 0.59152805 -0.2978498 1.0606269
#> lag1_var4 0.6433759 0.43752007 0.1606140 1.1667276
#> const 5.6035030 12.63846279 -10.6431552 17.3330224
#> exo1 0.1559504 0.18036368 -0.0304303 0.3834766
#> exo2 -1.5517582 0.10729674 -1.6693633 -1.4555054
#> exo3 2.9673328 0.38377893 2.4967085 3.3589171
#>
#>
#>
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.03065685 0.03476826 0.004326993 0.07779311
#>
#> $ALB$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.2795554 0.274399 -0.6554093 -0.1075549
#> Sigma[2,2] 9.5207128 2.047606 7.2482113 11.6695978
#>
#> $ALB$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.2878503 0.2710994 0.07237293 0.6519986
#> Sigma[3,2] -6.6392567 1.9170270 -8.87066642 -4.4136584
#> Sigma[3,3] 7.2686364 2.8198600 5.04308463 10.5613731
#>
#> $ALB$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.1267123 0.154125 -0.02155035 0.294397
#> Sigma[4,2] -0.3380297 1.687650 -2.16393548 1.383803
#> Sigma[4,3] 3.4452882 2.436384 1.02062406 6.514206
#> Sigma[4,4] 3.9339389 1.772892 2.31407337 6.250271
#>
#>
#> $ALB$A
#> $ALB$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.61713501 0.3352068 0.20433303 0.94809013
#> lag1_var2 -0.09246465 0.1355782 -0.26411944 0.03482410
#> lag1_var3 -0.14164374 0.2105149 -0.40526574 0.05355908
#> lag1_var4 0.09115553 0.1649119 -0.04747043 0.30740758
#> const 11.90894388 10.2219594 1.05262325 22.63675122
#> exo1 -0.07197219 0.2164545 -0.36256584 0.10282568
#> exo2 0.17108164 0.2195861 -0.05844476 0.44544006
#> exo3 0.09716390 0.1840233 -0.11842349 0.28495857
#>
#> $ALB$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -1.3758670 1.793275 -3.779654 0.1686219
#> lag1_var2 3.7016271 1.112451 2.527317 5.0319539
#> lag1_var3 5.2724565 1.831252 3.248265 7.3786079
#> lag1_var4 -4.1891753 1.342156 -5.829313 -2.8126124
#> const -25.8124852 56.459844 -88.905663 35.6767637
#> exo1 -2.5941224 3.086623 -5.442928 1.1698144
#> exo2 -2.6924359 2.871785 -4.973380 1.1430980
#> exo3 0.8612671 2.578062 -2.206380 3.2077019
#>
#> $ALB$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.2554446 2.301214 -2.163078 2.6266541
#> lag1_var2 -3.4174437 3.080122 -6.957422 -0.1265528
#> lag1_var3 -4.8638673 4.722973 -10.224161 0.1825289
#> lag1_var4 4.5753285 3.671664 0.700585 8.8547351
#> const 69.6394493 116.629216 -58.716232 180.0423696
#> exo1 -0.1537518 3.316745 -3.940255 3.2198757
#> exo2 -0.9011716 1.923363 -3.367985 0.8458472
#> exo3 -0.9503421 3.159601 -5.035388 2.1708270
#>
#> $ALB$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.8010777 3.007918 -3.626165 2.6167067
#> lag1_var2 -1.5631845 3.050938 -4.855481 1.8933446
#> lag1_var3 -2.2302462 4.538860 -7.141377 2.8548938
#> lag1_var4 2.6515692 3.604668 -1.333129 6.5945725
#> const 56.6673895 127.138038 -93.562896 172.3327048
#> exo1 -1.8164290 1.995724 -3.588616 0.6294408
#> exo2 -3.1035648 1.830821 -5.263660 -1.0459521
#> exo3 -0.3808116 2.639269 -3.772092 2.2207023
#>
#>
#>
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.002779004 0.0006198993 0.002057706 0.003502107
#>
#> $ARE$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.001942321 0.001322908 -0.003552403 -0.0004976356
#> Sigma[2,2] 0.056722193 0.014235736 0.041360416 0.0740867547
#>
#> $ARE$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.006715474 0.006219785 -0.001468457 0.01243976
#> Sigma[3,2] -0.058585901 0.015941402 -0.076388501 -0.03968657
#> Sigma[3,3] 0.187385037 0.036603200 0.144389217 0.22400635
#>
#> $ARE$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.005597788 0.005776060 -0.001733433 0.011307543
#> Sigma[4,2] -0.015825992 0.008467565 -0.026689030 -0.007846292
#> Sigma[4,3] 0.145929973 0.025957738 0.116203398 0.174751739
#> Sigma[4,4] 0.137307623 0.020362924 0.112914570 0.158316130
#>
#>
#> $ARE$A
#> $ARE$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.83827935 0.04468873 0.77730891 0.87025727
#> lag1_var2 1.68910734 0.05552998 1.61439990 1.73276448
#> lag1_var3 2.14805233 0.08895884 2.02550073 2.20627484
#> lag1_var4 -2.06627987 0.09804882 -2.13087729 -1.93086769
#> const -2.08132847 0.54763565 -2.57435769 -1.36194185
#> exo1 -0.01185301 0.08784006 -0.10936215 0.09002755
#> exo2 -0.08671298 0.06125573 -0.16717511 -0.03513127
#> exo3 0.03039258 0.05862066 -0.04792583 0.07680662
#>
#> $ARE$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.07654461 0.0840527 0.0134107 0.1894488
#> lag1_var2 1.40534320 0.1633974 1.2649227 1.6208025
#> lag1_var3 0.88969139 0.1771985 0.7336070 1.1268119
#> lag1_var4 -0.89105016 0.2089089 -1.1732343 -0.7175742
#> const -1.24255783 0.4787269 -1.7040533 -0.6362455
#> exo1 -0.10649054 0.3551720 -0.5006781 0.2554741
#> exo2 1.81662855 0.1275253 1.6601321 1.9563750
#> exo3 -0.73921196 0.2349308 -0.9804915 -0.4521204
#>
#> $ARE$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.2306511 0.3022051 -0.03921935 0.630383808
#> lag1_var2 0.4271432 0.4411970 0.01397948 1.002144055
#> lag1_var3 1.2734812 0.5789545 0.71898242 1.989538018
#> lag1_var4 -0.3133812 0.6296002 -1.09062145 0.297567787
#> const -3.3716880 4.4500164 -8.65599893 1.399382488
#> exo1 -0.4756346 0.4338451 -0.92704342 0.004635628
#> exo2 -2.2898079 0.3885823 -2.74207893 -1.859657321
#> exo3 -0.7931013 0.4044923 -1.20586350 -0.290016899
#>
#> $ARE$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.2854737 0.3068198 0.01498474 0.6950644
#> lag1_var2 1.5163795 0.3766015 1.23163224 2.0263435
#> lag1_var3 1.9731759 0.5346868 1.43297346 2.6555352
#> lag1_var4 -0.9870675 0.5793827 -1.72249484 -0.3881184
#> const -6.2870905 4.7143640 -12.17234704 -1.4493411
#> exo1 -0.5673155 0.1957752 -0.78454928 -0.3826680
#> exo2 -0.8655165 0.3490010 -1.28788996 -0.4851522
#> exo3 -1.3919082 0.5100356 -1.94230709 -0.7767119
#>
#>
#>
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.00531241 0.001644916 0.003278154 0.007074477
#>
#> $ARG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.05999047 0.01675265 -0.07815953 -0.04049199
#> Sigma[2,2] 2.82727467 0.73675497 1.90079718 3.58831246
#>
#> $ARG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.04458501 0.009658016 0.03269836 0.05491033
#> Sigma[3,2] -2.03323460 0.639270321 -2.70818471 -1.23317196
#> Sigma[3,3] 1.66746305 0.543761102 1.05309049 2.31886504
#>
#> $ARG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.009885488 0.005630307 0.002373489 0.01465929
#> Sigma[4,2] -0.345557831 0.225416674 -0.600617830 -0.08680923
#> Sigma[4,3] 0.478637947 0.200936391 0.340032696 0.75089919
#> Sigma[4,4] 0.301553037 0.116637761 0.195087020 0.45324192
#>
#>
#> $ARG$A
#> $ARG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.7824907 0.11112842 0.66835363 0.90406062
#> lag1_var2 0.9517627 0.30620994 0.53293421 1.18044478
#> lag1_var3 1.5582475 0.50683904 0.86569494 1.93805834
#> lag1_var4 -1.4244005 0.44439502 -1.75303114 -0.81664094
#> const -2.2771189 2.09372479 -4.28698159 0.29063959
#> exo1 0.0200910 0.04036533 -0.02607238 0.06226145
#> exo2 -0.1497222 0.09133935 -0.23853697 -0.03091352
#> exo3 -0.1305218 0.04541921 -0.18822144 -0.08740952
#>
#> $ARG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -1.79831647 1.403374 -3.3555428 -0.270364
#> lag1_var2 -6.44108366 3.172235 -10.2358835 -3.500465
#> lag1_var3 -11.76518376 5.086016 -17.7390181 -6.989820
#> lag1_var4 10.98069310 4.879684 6.5739049 16.913886
#> const 98.84324353 57.220332 34.9138282 167.135187
#> exo1 -1.61162207 2.525738 -4.6967070 1.171261
#> exo2 1.86699670 1.801971 -0.5042116 3.504561
#> exo3 0.05907522 3.275859 -2.6203369 4.235715
#>
#> $ARG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.7069014 1.059720 -0.3823771 1.947940
#> lag1_var2 6.0076540 1.683112 4.2989345 7.789107
#> lag1_var3 10.5788312 2.699240 7.8121040 13.328217
#> lag1_var4 -9.0414294 2.625395 -11.9585472 -6.384818
#> const -53.3083264 39.445444 -101.2589390 -13.593958
#> exo1 0.4276729 1.506908 -1.0230994 2.369752
#> exo2 -5.3706173 1.510654 -6.6864599 -3.350055
#> exo3 2.8809407 2.404864 -0.1039840 5.021091
#>
#> $ARG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.4387222 0.3360492 -0.8745599 -0.1114854
#> lag1_var2 2.1993144 0.7800845 1.4647475 3.2175062
#> lag1_var3 3.5943994 1.2905569 2.3670534 5.2762833
#> lag1_var4 -2.4399532 1.0893952 -3.8668983 -1.4440563
#> const 2.4588587 13.5414871 -12.5948830 16.7197798
#> exo1 -0.6276450 0.3658962 -1.0230431 -0.2073332
#> exo2 -4.8059106 0.8813316 -5.7957075 -3.9527294
#> exo3 3.2257214 0.6635317 2.7062580 4.0440441
#>
#>
#>