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] 0.004657898 0.001248489 0.003394889  0.006163106
#> 
#> $AFG$Sigma$equation2
#>                    mean          sd  5% quantile  95% quantile
#> Sigma[2,1] -0.004989466 0.004395443 -0.009705882 -0.0003755101
#> Sigma[2,2]  0.186980638 0.031041126  0.149212377  0.2184459294
#> 
#> $AFG$Sigma$equation3
#>                     mean          sd 5% quantile 95% quantile
#> Sigma[3,1] -0.0004865243 0.006782181 -0.00548591  0.008713639
#> Sigma[3,2] -0.1625804381 0.060772303 -0.22527925 -0.093873436
#> Sigma[3,3]  0.3464548142 0.074112040  0.27515830  0.439146735
#> 
#> $AFG$Sigma$equation4
#>                    mean          sd  5% quantile 95% quantile
#> Sigma[4,1] -0.003868859 0.006111286 -0.009253865  0.004277054
#> Sigma[4,2] -0.092144419 0.055379137 -0.146391328 -0.032189025
#> Sigma[4,3]  0.310139208 0.054491037  0.260735549  0.381102943
#> Sigma[4,4]  0.306034174 0.039350227  0.280594976  0.359521603
#> 
#> 
#> $AFG$A
#> $AFG$A$equation1
#>                 mean         sd 5% quantile 95% quantile
#> lag1_var1  0.9771281 0.02569019   0.9505739    1.0083647
#> lag1_var2  0.2107912 0.01906929   0.1862454    0.2274251
#> lag1_var3  0.4991445 0.01798942   0.4837799    0.5224646
#> lag1_var4 -0.4374319 0.01791093  -0.4589854   -0.4192865
#> const     -2.1076326 0.70574431  -2.9529858   -1.4540891
#> 
#> $AFG$A$equation2
#>                 mean         sd  5% quantile 95% quantile
#> lag1_var1  0.1925272 0.15881830  0.004157616    0.3695079
#> lag1_var2  0.7792215 0.09200682  0.653188505    0.8481498
#> lag1_var3 -0.5321093 0.13636239 -0.705915183   -0.4071184
#> lag1_var4  0.4477190 0.12232281  0.337353539    0.5945298
#> const     -0.5679611 4.53951618 -4.878802097    5.3323664
#> 
#> $AFG$A$equation3
#>                 mean         sd 5% quantile 95% quantile
#> lag1_var1  0.0972481 0.07282411  0.04598929   0.19725349
#> lag1_var2 -0.2962999 0.11079621 -0.41528935  -0.15991764
#> lag1_var3  1.1940223 0.13324719  1.01409163   1.30198856
#> lag1_var4 -0.2706983 0.13444994 -0.38726531  -0.09062673
#> const      4.2649269 3.57929430 -0.64698843   6.87408798
#> 
#> $AFG$A$equation4
#>                  mean         sd 5% quantile 95% quantile
#> lag1_var1  0.19837625 0.07713060  0.10114100   0.27089191
#> lag1_var2  0.08695486 0.08887674 -0.02632473   0.17585699
#> lag1_var3  1.09211281 0.10821829  0.95732638   1.19725844
#> lag1_var4 -0.06296876 0.12057217 -0.19647334   0.07782666
#> const     -2.66305782 2.60443657 -5.64516029   0.15591057
#> 
#> 
#> 
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#>                  mean          sd 5% quantile 95% quantile
#> Sigma[1,1] 0.01421447 0.005805898 0.008228763   0.02137606
#> 
#> $AGO$Sigma$equation2
#>                    mean         sd 5% quantile 95% quantile
#> Sigma[2,1] -0.007348488 0.02595655 -0.03881812   0.02117339
#> Sigma[2,2]  0.255900225 0.11344521  0.14620344   0.40254368
#> 
#> $AGO$Sigma$equation3
#>                    mean         sd 5% quantile 95% quantile
#> Sigma[3,1] -0.003858301 0.02149805  -0.0275049    0.0208399
#> Sigma[3,2] -0.219508805 0.12126356  -0.3775213   -0.1267110
#> Sigma[3,3]  0.450783391 0.18692119   0.2759204    0.6730613
#> 
#> $AGO$Sigma$equation4
#>                   mean          sd 5% quantile 95% quantile
#> Sigma[4,1] -0.01325469 0.005530217 -0.01758409 -0.005848214
#> Sigma[4,2] -0.02714567 0.093056173 -0.12889329  0.084810773
#> Sigma[4,3]  0.34322337 0.144461646  0.19489846  0.526851977
#> Sigma[4,4]  0.39663153 0.103748472  0.31095876  0.535609299
#> 
#> 
#> $AGO$A
#> $AGO$A$equation1
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1  1.0728659 0.0291689   1.0477943    1.1114669
#> lag1_var2 -0.5219895 0.1649731  -0.6886576   -0.3118732
#> lag1_var3 -0.5948180 0.2221713  -0.8281364   -0.3186681
#> lag1_var4  0.5911684 0.2031935   0.3360705    0.8033620
#> const     -0.4257331 1.6825932  -1.8653155    1.8155613
#> 
#> $AGO$A$equation2
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1 -0.2187796 0.2461240  -0.4402469    0.0938496
#> lag1_var2  1.0748833 0.8186163   0.3701250    2.1721424
#> lag1_var3  0.5322424 1.0419790  -0.2674114    1.9495803
#> lag1_var4 -0.3466586 0.9970829  -1.6842554    0.4241860
#> const     -3.4408983 3.0749807  -7.4582747   -0.5473634
#> 
#> $AGO$A$equation3
#>                  mean        sd 5% quantile 95% quantile
#> lag1_var1 -0.08796298 0.2857986  -0.4103201    0.2553907
#> lag1_var2  1.81686140 0.9460023   0.6996367    2.8304726
#> lag1_var3  2.76852733 1.1322981   1.3359427    3.8446927
#> lag1_var4 -1.93661988 1.0815348  -2.9817225   -0.5573837
#> const      7.50660322 4.3679378   1.7821225   11.5962092
#> 
#> $AGO$A$equation4
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1 -0.3613178 0.1796619  -0.4795812   -0.1149353
#> lag1_var2  2.8676831 0.5229266   2.2218996    3.3836675
#> lag1_var3  3.4422590 0.6256053   2.5898220    3.9115371
#> lag1_var4 -2.3779603 0.5434040  -2.8507909   -1.6678264
#> const      0.1828613 4.7944138  -5.3804846    5.7751857
#> 
#> 
#> 
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#>                   mean          sd 5% quantile 95% quantile
#> Sigma[1,1] 0.005501371 0.002343237  0.00248115  0.007627412
#> 
#> $ALB$Sigma$equation2
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[2,1] -0.03953674 0.02450947 -0.06480436  -0.01328715
#> Sigma[2,2]  6.74397657 1.42303653  5.18371359   8.32665223
#> 
#> $ALB$Sigma$equation3
#>                    mean         sd 5% quantile 95% quantile
#> Sigma[3,1] -0.006885861 0.03605658 -0.05570963   0.01370019
#> Sigma[3,2] -3.815953767 1.36860856 -5.45353852  -2.43679581
#> Sigma[3,3]  4.997698834 0.67200979  4.33891485   5.83440188
#> 
#> $ALB$Sigma$equation4
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[4,1] -0.03774451 0.04721912  -0.0990949  0.003057428
#> Sigma[4,2]  0.81882032 0.79565294  -0.1787429  1.660246369
#> Sigma[4,3]  2.90488217 1.37501053   1.8019527  4.745199207
#> Sigma[4,4]  4.12816913 2.00052688   2.3634579  6.561301223
#> 
#> 
#> $ALB$A
#> $ALB$A$equation1
#>                   mean         sd 5% quantile 95% quantile
#> lag1_var1  1.054818152 0.03023398  1.02772709   1.09136835
#> lag1_var2  0.014522601 0.04336567 -0.04397189   0.04888939
#> lag1_var3  0.008931424 0.07238784 -0.08871198   0.06677327
#> lag1_var4 -0.008586858 0.05992156 -0.05548270   0.07230708
#> const     -1.375338817 0.25828911 -1.65848681  -1.08618953
#> 
#> $ALB$A$equation2
#>                mean         sd 5% quantile 95% quantile
#> lag1_var1 -3.489234  0.6766011   -4.354866    -2.806352
#> lag1_var2  4.858919  0.5197574    4.278828     5.406216
#> lag1_var3  7.094315  0.7810578    6.131457     7.882793
#> lag1_var4 -5.796159  0.7752213   -6.602124    -4.860845
#> const      8.418724 14.1864859   -6.446161    26.157190
#> 
#> $ALB$A$equation3
#>                mean        sd 5% quantile 95% quantile
#> lag1_var1  2.532284  1.063908    1.210126     3.528763
#> lag1_var2 -3.062253  1.405690   -4.070698    -1.137900
#> lag1_var3 -4.390450  2.476307   -6.234374    -1.005255
#> lag1_var4  4.311895  2.059465    1.494075     5.870500
#> const      3.639306 11.668056   -4.262664    19.541851
#> 
#> $ALB$A$equation4
#>                   mean        sd 5% quantile 95% quantile
#> lag1_var1  0.213500502  1.217241   -1.347249     1.428493
#> lag1_var2 -0.080526422  1.336047   -1.002520     1.750552
#> lag1_var3 -0.004718148  2.499604   -1.669731     3.429913
#> lag1_var4  0.875370725  2.012951   -1.890817     2.266866
#> const      3.814572101 10.413278   -6.661226    14.973852
#> 
#> 
#> 
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#>                  mean         sd 5% quantile 95% quantile
#> Sigma[1,1] 0.01015687 0.00297673  0.00628476   0.01297308
#> 
#> $ARE$Sigma$equation2
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[2,1] -0.01328703 0.00897893 -0.02272233   -0.0021893
#> Sigma[2,2]  0.14230407 0.02568791  0.11570276    0.1746005
#> 
#> $ARE$Sigma$equation3
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[3,1]  0.03795118 0.01696096  0.02369078   0.06069523
#> Sigma[3,2] -0.18031514 0.05615531 -0.25202417  -0.12605440
#> Sigma[3,3]  0.45511713 0.14670603  0.32006545   0.64682452
#> 
#> $ARE$Sigma$equation4
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[4,1]  0.02891644 0.01183231  0.01792412   0.04434126
#> Sigma[4,2] -0.07018043 0.03674233 -0.11808156  -0.03700143
#> Sigma[4,3]  0.31720568 0.10420018  0.21108902   0.44941363
#> Sigma[4,4]  0.26711909 0.08133842  0.17913496   0.36398550
#> 
#> 
#> $ARE$A
#> $ARE$A$equation1
#>                 mean         sd 5% quantile 95% quantile
#> lag1_var1  0.9852596 0.04747217   0.9204773     1.019772
#> lag1_var2 -0.8857620 0.07923729  -0.9617789    -0.793329
#> lag1_var3 -1.1627453 0.06514790  -1.2481168    -1.103511
#> lag1_var4  1.1419182 0.06999885   1.0842840     1.236646
#> const      2.0078567 0.81683538   1.0048374     2.884372
#> 
#> $ARE$A$equation2
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1  0.2015970 0.2033726 -0.03378979   0.42995657
#> lag1_var2  0.3625828 0.2046322  0.12865852   0.60227812
#> lag1_var3 -0.2358660 0.2556469 -0.54346892   0.02892482
#> lag1_var4  0.2326629 0.2637937 -0.03494080   0.53144016
#> const     -3.9443736 2.9346243 -6.35377646  -0.19049027
#> 
#> $ARE$A$equation3
#>                 mean        sd 5% quantile 95% quantile
#> lag1_var1  0.2721741 0.6417852  -0.5080471    0.8787956
#> lag1_var2 -1.5224060 0.5907869  -2.2981170   -0.9936544
#> lag1_var3 -1.1742927 0.6679876  -2.0899654   -0.6997962
#> lag1_var4  1.9468618 0.6585135   1.3797941    2.8153253
#> const     10.0726796 9.1645745   0.4438359   20.6252563
#> 
#> $ARE$A$equation4
#>                mean        sd 5% quantile 95% quantile
#> lag1_var1  0.420213 0.7177969  -0.3516303    1.1562324
#> lag1_var2 -1.274005 0.5420638  -1.9506210   -0.7151177
#> lag1_var3 -1.390023 0.5877936  -2.1846052   -0.9594907
#> lag1_var4  2.195038 0.5267801   1.7948486    2.9150305
#> const      4.556889 9.3102913  -5.5426922   14.0866798
#> 
#> 
#> 
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#>                   mean          sd 5% quantile 95% quantile
#> Sigma[1,1] 0.005103857 0.002119963 0.003216289  0.007910083
#> 
#> $ARG$Sigma$equation2
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[2,1] -0.08128757 0.03680575  -0.1258673  -0.04213103
#> Sigma[2,2]  3.41520035 1.15371222   2.3661780   4.89939987
#> 
#> $ARG$Sigma$equation3
#>                   mean         sd 5% quantile 95% quantile
#> Sigma[3,1]  0.07413511 0.02034973  0.05403004    0.0963121
#> Sigma[3,2] -2.58462031 0.71817152 -3.46722460   -1.8752757
#> Sigma[3,3]  2.71239216 0.34287006  2.35855289    3.0725640
#> 
#> $ARG$Sigma$equation4
#>                  mean          sd 5% quantile 95% quantile
#> Sigma[4,1]  0.0287917 0.008033342  0.01975514   0.03818099
#> Sigma[4,2] -0.5952482 0.147768044 -0.74628427  -0.43750428
#> Sigma[4,3]  1.3079351 0.198830491  1.09226862   1.50127367
#> Sigma[4,4]  1.0794914 0.209278046  0.86997543   1.34535666
#> 
#> 
#> $ARG$A
#> $ARG$A$equation1
#>                 mean         sd 5% quantile 95% quantile
#> lag1_var1  0.9391390 0.06474795   0.8720649    1.0167766
#> lag1_var2  0.2717269 0.07850607   0.1829268    0.3617183
#> lag1_var3  0.4422313 0.12953779   0.2965005    0.5929919
#> lag1_var4 -0.4111026 0.11780038  -0.5464193   -0.2764494
#> const     -0.2539398 1.20774595  -1.7508025    1.0440643
#> 
#> $ARG$A$equation2
#>                  mean         sd 5% quantile 95% quantile
#> lag1_var1 -1.37823371  1.0714089  -2.5943901   -0.3756158
#> lag1_var2  0.08952226  0.7850127  -0.6504304    0.9663270
#> lag1_var3 -0.94351448  1.4104540  -2.2947439    0.6140563
#> lag1_var4  1.44424176  0.9993170   0.3004707    2.4076186
#> const     10.10621312 10.7499606  -2.4820113   20.9909336
#> 
#> $ARG$A$equation3
#>                 mean         sd 5% quantile 95% quantile
#> lag1_var1  0.7001508  0.4939051   0.1188289     1.248799
#> lag1_var2  2.8777674  0.6633487   1.9899993     3.417486
#> lag1_var3  5.3106551  1.1042644   3.8225342     6.172427
#> lag1_var4 -4.7217657  1.1490407  -5.7241037    -3.209022
#> const      3.6425928 12.1120860 -10.4729248    15.712324
#> 
#> $ARG$A$equation4
#>                 mean         sd 5% quantile 95% quantile
#> lag1_var1 -0.1607312  0.7043634  -0.9494391    0.6232343
#> lag1_var2  3.2256490  1.1024800   1.9349234    4.3785696
#> lag1_var3  5.2025452  1.8468812   3.0294285    7.1278721
#> lag1_var4 -4.2205533  1.7224182  -6.0864813   -2.2268985
#> const      4.9352412 15.5461656  -7.3121923   24.6392485
#> 
#> 
#>