Skip to contents

Provides posterior estimation summary for Bayesian Hierarchical Panel Vector Autoregressions with group-specific global prior

Source: R/summary.R
summary.PosteriorBVARGROUPPRIORPANEL.Rd

Provides posterior mean, standard deviations, as well as 5 and 95 percentiles of the parameters for all C countries.

Usage

# S3 method for class 'PosteriorBVARGROUPPRIORPANEL'
summary(object, ...)

Arguments

object

an object of class PosteriorBVARGROUPPRIORPANEL obtained using the estimate() 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.

See also

estimate.BVARGROUPPRIORPANEL, specify_bvarGroupPriorPANEL

Author

Tomasz Woźniak wozniak.tom@pm.me

Examples

# specify the model
specification = specify_bvarGroupPriorPANEL$new(
      data = ilo_dynamic_panel[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] 0.01488 0.00916183 0.006896132   0.02501312
#> 
#> $AFG$Sigma$equation2
#>                    mean         sd 5% quantile 95% quantile
#> Sigma[2,1] -0.003859703 0.01403241 -0.01847807   0.01303752
#> Sigma[2,2]  0.290955549 0.13786614  0.15807948   0.45780207
#> 
#> $AFG$Sigma$equation3
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[3,1] -0.01106913 0.03891678 -0.05542867   0.02688173
#> Sigma[3,2] -0.27832743 0.13245865 -0.44749317  -0.16373782
#> Sigma[3,3]  0.50227438 0.22250355  0.34950213   0.80326503
#> 
#> $AFG$Sigma$equation4
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[4,1] -0.01653609 0.03969195 -0.06531798   0.02024806
#> Sigma[4,2] -0.17716113 0.10706492 -0.32502871  -0.10776904
#> Sigma[4,3]  0.44368045 0.20867955  0.31121193   0.73249673
#> Sigma[4,4]  0.43009420 0.20022848  0.29687598   0.70269755
#> 
#> 
#> $AFG$A
#> $AFG$A$equation1
#>                   mean         sd 5% quantile 95% quantile
#> lag1_var1  0.974624200 0.03813875   0.9244094    1.0065762
#> lag1_var2  0.047556710 0.15225988  -0.1592706    0.1225774
#> lag1_var3  0.028122911 0.42076186  -0.5410933    0.2699885
#> lag1_var4  0.008100966 0.39772157  -0.2290290    0.5447136
#> const     -1.347780357 0.80983270  -2.1115916   -0.3838221
#> 
#> $AFG$A$equation2
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1  0.6384611 0.4370512   0.2854690     1.128832
#> lag1_var2 -0.5659507 1.0538704  -1.7598585     0.242837
#> lag1_var3 -3.0222129 1.9262788  -5.2389949    -1.530313
#> lag1_var4  2.6058886 1.6536368   1.3351819     4.505726
#> const      6.3140348 4.6669881   0.8979085    11.301413
#> 
#> $AFG$A$equation3
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1 -0.6638091 0.4673528  -1.2827297   -0.2834805
#> lag1_var2  1.7636732 1.0393694   0.6847948    3.0301259
#> lag1_var3  5.2931189 1.9084520   3.1646563    7.4386269
#> lag1_var4 -3.8932589 1.6539758  -5.6660169   -2.0594775
#> const     -1.8211001 6.3704498  -9.8753779    4.7743588
#> 
#> $AFG$A$equation4
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1 -0.4379019 0.3620403  -0.9110518   -0.1089546
#> lag1_var2  1.6136681 0.9047833   0.7102718    2.6844313
#> lag1_var3  4.2267083 1.8602416   2.4353089    6.4285307
#> lag1_var4 -2.8713650 1.6786871  -4.9667134   -1.3276442
#> const     -3.8845779 5.7136840 -11.1444934    1.9005556
#> 
#> 
#> 
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#>                  mean          sd 5% quantile 95% quantile
#> Sigma[1,1] 0.01283738 0.003062652  0.00953549   0.01594083
#> 
#> $AGO$Sigma$equation2
#>                    mean          sd  5% quantile 95% quantile
#> Sigma[2,1] -0.005561989 0.002631461 -0.008621555 -0.002931132
#> Sigma[2,2]  0.153049731 0.028602528  0.130310577  0.191765342
#> 
#> $AGO$Sigma$equation3
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[3,1] -0.02616213 0.02459927 -0.05988074  -0.00807016
#> Sigma[3,2] -0.21170060 0.05881977 -0.28126947  -0.14888092
#> Sigma[3,3]  0.78023080 0.08056897  0.67684914   0.85816475
#> 
#> $AGO$Sigma$equation4
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[4,1] -0.03349943 0.02826002 -0.07163871  -0.01137052
#> Sigma[4,2] -0.11041394 0.05131456 -0.15752057  -0.04664575
#> Sigma[4,3]  0.71805238 0.10973469  0.58572601   0.83256765
#> Sigma[4,4]  0.73625431 0.15849575  0.55921139   0.89714006
#> 
#> 
#> $AGO$A
#> $AGO$A$equation1
#>                  mean         sd 5% quantile 95% quantile
#> lag1_var1  0.92246474 0.05466262   0.8666489    0.9917415
#> lag1_var2 -0.07007255 0.24952770  -0.3659907    0.2130458
#> lag1_var3  0.06607620 0.30848248  -0.2780759    0.4358014
#> lag1_var4  0.01105663 0.29957248  -0.3475169    0.3482958
#> const     -1.99086666 1.06407437  -3.2317147   -1.1727849
#> 
#> $AGO$A$equation2
#>                  mean        sd 5% quantile 95% quantile
#> lag1_var1  0.03420296 0.1549905 -0.16714658  0.168746498
#> lag1_var2  0.32267531 0.3427624 -0.05365887  0.677043676
#> lag1_var3 -0.52173015 0.4289364 -0.86030182  0.008116376
#> lag1_var4  0.62990567 0.4318463  0.11873769  0.986970307
#> const     -4.71008164 3.9484961 -9.70733207 -0.779701663
#> 
#> $AGO$A$equation3
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1 -0.3525235 0.5033202  -0.8659852    0.2396469
#> lag1_var2  3.9493306 1.3458469   2.4499830    5.0547213
#> lag1_var3  5.0181374 2.1363528   2.5840288    7.1440960
#> lag1_var4 -4.2644982 2.0117222  -6.2302396   -1.9772424
#> const     13.4187951 8.1562578   4.1833752   23.0604913
#> 
#> $AGO$A$equation4
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1 -0.4129343 0.4472999  -0.8955515   0.08963794
#> lag1_var2  4.2233648 1.5828058   2.3582018   5.51862348
#> lag1_var3  4.5517124 2.3162276   2.0594238   6.78683811
#> lag1_var4 -3.6908924 2.2160599  -5.8344347  -1.27721006
#> const      8.8091901 8.2128199   1.1221565  18.93497678
#> 
#> 
#> 
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#>                  mean          sd 5% quantile 95% quantile
#> Sigma[1,1] 0.01918072 0.005428085  0.01281355   0.02500999
#> 
#> $ALB$Sigma$equation2
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[2,1] -0.03083682 0.08682336  -0.1185611     0.072775
#> Sigma[2,2]  7.55460283 1.28123722   5.8661783     8.690272
#> 
#> $ALB$Sigma$equation3
#>                  mean         sd 5% quantile 95% quantile
#> Sigma[3,1] -0.1455233 0.08951571  -0.2640707  -0.06502145
#> Sigma[3,2] -4.2704926 0.61569870  -4.9825763  -3.55538913
#> Sigma[3,3]  5.5917521 1.06734577   4.5569977   6.92514329
#> 
#> $ALB$Sigma$equation4
#>                  mean         sd 5% quantile 95% quantile
#> Sigma[4,1] -0.2162495 0.06540166  -0.2935937   -0.1414226
#> Sigma[4,2]  0.8224750 1.22428006  -0.5233596    2.0583351
#> Sigma[4,3]  3.4956046 1.32881935   2.5689493    5.3280832
#> Sigma[4,4]  5.0646361 1.18511064   3.8099727    6.5254235
#> 
#> 
#> $ALB$A
#> $ALB$A$equation1
#>                 mean         sd 5% quantile 95% quantile
#> lag1_var1  1.1747535 0.04568703   1.1305290    1.2268892
#> lag1_var2 -0.2762312 0.03032147  -0.3084831   -0.2389857
#> lag1_var3 -0.4431843 0.04759866  -0.4880717   -0.3892057
#> lag1_var4  0.3907079 0.03919655   0.3440958    0.4320481
#> const     -0.6541032 0.93551782  -1.6198167    0.4425597
#> 
#> $ALB$A$equation2
#>                mean         sd 5% quantile 95% quantile
#> lag1_var1 -3.607296  0.7858928   -4.675149    -3.060882
#> lag1_var2  5.034636  1.4101231    3.759508     6.831084
#> lag1_var3  7.290812  2.2975819    5.247076    10.258306
#> lag1_var4 -5.971325  1.9435922   -8.454509    -4.168543
#> const      8.821264 14.5052067  -10.186282    22.284052
#> 
#> $ALB$A$equation3
#>                   mean         sd 5% quantile 95% quantile
#> lag1_var1   1.58611690  0.4138233    1.262491    2.1500647
#> lag1_var2  -0.23464142  1.1828766   -1.737138    0.9351174
#> lag1_var3   0.05347578  1.8279987   -2.233696    1.9425498
#> lag1_var4   0.44712247  1.5795036   -1.176410    2.4059935
#> const     -11.84219863 13.5564479  -25.458902    5.0776224
#> 
#> $ALB$A$equation4
#>                 mean         sd 5% quantile 95% quantile
#> lag1_var1  -1.140436  0.2001024   -1.337522   -0.8890763
#> lag1_var2   3.485711  0.7191067    2.834583    4.3238468
#> lag1_var3   5.551155  1.0775790    4.457133    6.7716825
#> lag1_var4  -3.970482  0.8936467   -5.068887   -3.1746940
#> const     -11.380396 18.1789231  -33.178206    9.1029476
#> 
#> 
#> 
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#>                   mean           sd 5% quantile 95% quantile
#> Sigma[1,1] 0.001819062 0.0006805489 0.001161966  0.002623798
#> 
#> $ARE$Sigma$equation2
#>                    mean          sd 5% quantile 95% quantile
#> Sigma[2,1] -0.008021365 0.002868942 -0.01076292 -0.004479199
#> Sigma[2,2]  0.181549174 0.054037788  0.14546325  0.256046969
#> 
#> $ARE$Sigma$equation3
#>                    mean          sd  5% quantile 95% quantile
#> Sigma[3,1]  0.008040876 0.003782957  0.003432138   0.01156726
#> Sigma[3,2] -0.184703059 0.066566024 -0.267414734  -0.11559554
#> Sigma[3,3]  0.443116948 0.129758365  0.279624267   0.56211445
#> 
#> $ARE$Sigma$equation4
#>                    mean          sd  5% quantile 95% quantile
#> Sigma[4,1]  0.001818749 0.004939991 -0.004357504  0.006512945
#> Sigma[4,2] -0.044463432 0.036864837 -0.075965247  0.003929617
#> Sigma[4,3]  0.305696734 0.096246622  0.193756564  0.415913032
#> Sigma[4,4]  0.276793891 0.078217842  0.201042297  0.378152041
#> 
#> 
#> $ARE$A
#> $ARE$A$equation1
#>                 mean          sd 5% quantile 95% quantile
#> lag1_var1  1.0259203 0.007557712   1.0175982    1.0344643
#> lag1_var2  0.3159494 0.080580356   0.2166414    0.3958683
#> lag1_var3  0.3851506 0.095062971   0.2706336    0.4848581
#> lag1_var4 -0.3809404 0.093937958  -0.4771220   -0.2692672
#> const     -1.0150164 0.617160800  -1.7949826   -0.3954598
#> 
#> $ARE$A$equation2
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1  0.1039863 0.4331302  -0.2834051    0.6515223
#> lag1_var2  1.9322327 2.5868692  -0.5122861    5.1050042
#> lag1_var3  1.9439569 3.0844530  -1.0158592    5.6890604
#> lag1_var4 -1.9194394 2.9552593  -5.5391070    0.8991515
#> const     -3.2756555 3.0338615  -6.1934844    0.2310439
#> 
#> $ARE$A$equation3
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1  0.5730185 0.6340188 -0.02358505     1.398289
#> lag1_var2 -0.9664132 3.0043113 -4.84109524     1.795322
#> lag1_var3 -0.5221333 3.6535892 -5.11972790     3.052587
#> lag1_var4  1.2535667 3.4603116 -2.08342050     5.611179
#> const      5.2163772 4.0909874  1.05399341    10.078000
#> 
#> $ARE$A$equation4
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1  0.6488198 0.4556854   0.1899860     1.215492
#> lag1_var2  0.5056220 1.0836455  -0.9363472     1.445496
#> lag1_var3  0.9671625 1.3543746  -0.7604580     2.328364
#> lag1_var4 -0.1943552 1.2445612  -1.4195682     1.394745
#> const      1.1025802 4.8394745  -3.2765425     7.397902
#> 
#> 
#> 
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#>                   mean          sd 5% quantile 95% quantile
#> Sigma[1,1] 0.005259872 0.002311217 0.003844561  0.008421145
#> 
#> $ARG$Sigma$equation2
#>                 mean         sd 5% quantile 95% quantile
#> Sigma[2,1] -0.090760 0.05675993  -0.1693423  -0.05512539
#> Sigma[2,2]  3.884278 1.16977029   2.7405024   5.38409126
#> 
#> $ARG$Sigma$equation3
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[3,1]  0.08319032 0.03160461   0.0593024     0.125760
#> Sigma[3,2] -3.02992897 0.70672392  -3.8814841    -2.379229
#> Sigma[3,3]  3.27386031 0.50748248   2.8571827     3.939200
#> 
#> $ARG$Sigma$equation4
#>                   mean          sd 5% quantile 95% quantile
#> Sigma[4,1]  0.03262356 0.007569526   0.0251823   0.04228219
#> Sigma[4,2] -0.75489236 0.377756947  -1.2653584  -0.45593101
#> Sigma[4,3]  1.60984079 0.281932091   1.3273282   1.96646097
#> Sigma[4,4]  1.29382022 0.147099241   1.1065412   1.44292457
#> 
#> 
#> $ARG$A
#> $ARG$A$equation1
#>                 mean         sd 5% quantile 95% quantile
#> lag1_var1  0.8958846 0.07283664   0.8056742    0.9688507
#> lag1_var2  0.4668280 0.09566629   0.3872992    0.5942508
#> lag1_var3  0.7652905 0.16028099   0.6275595    0.9782413
#> lag1_var4 -0.7012126 0.13686285  -0.8825112   -0.5900607
#> const     -1.0847886 0.52638835  -1.6159269   -0.4494196
#> 
#> $ARG$A$equation2
#>                 mean       sd 5% quantile 95% quantile
#> lag1_var1  0.1204689 2.044307   -2.099395     2.618482
#> lag1_var2 -2.0226200 3.946934   -6.847228     2.016354
#> lag1_var3 -4.5602851 6.641509  -12.686554     2.209195
#> lag1_var4  4.6461358 5.855477   -1.228423    11.783284
#> const     -5.7972124 6.789213  -13.945395     1.477778
#> 
#> $ARG$A$equation3
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1 -0.7176313 0.9427176   -1.813363    0.3717169
#> lag1_var2  5.8438366 1.2757195    4.333812    7.2573808
#> lag1_var3 10.2642264 2.1631472    7.706237   12.6842262
#> lag1_var4 -9.1458507 1.7485794  -11.065234   -7.0920566
#> const     10.0474571 2.9232917    6.578330   13.2865984
#> 
#> $ARG$A$equation4
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1 -0.7450806 0.3618674   -1.033556   -0.2979631
#> lag1_var2  4.8727225 1.4562773    3.246457    6.5405176
#> lag1_var3  7.8989258 2.3865566    5.200822   10.5944292
#> lag1_var4 -6.6507008 2.3027179   -9.272092   -4.0516899
#> const      4.4213219 4.7361045   -1.913838    8.2325191
#> 
#> 
#>