Provides posterior estimation summary for Bayesian Hierarchical Panel Vector Autoregressions with group-specific global prior
Source:R/summary.R
summary.PosteriorBVARGROUPPRIORPANEL.RdProvides 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
PosteriorBVARGROUPPRIORPANELobtained 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_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] 0.007627532 0.0008213695 0.006575333 0.008397889
#>
#> $AFG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.01235917 0.01080069 -0.02303179 0.001529326
#> Sigma[2,2] 0.21389393 0.03810738 0.17166743 0.257347105
#>
#> $AFG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.01815777 0.01368882 0.0002807008 0.03073048
#> Sigma[3,2] -0.21011955 0.05999125 -0.2790226552 -0.13970665
#> Sigma[3,3] 0.43634773 0.08693276 0.3240864254 0.51626704
#>
#> $AFG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.01402614 0.01121451 -0.0006157591 0.02409723
#> Sigma[4,2] -0.14412683 0.05540220 -0.2036250587 -0.07725317
#> Sigma[4,3] 0.39849640 0.08880027 0.2820844287 0.47536996
#> Sigma[4,4] 0.38883452 0.09407559 0.2652455281 0.47693647
#>
#>
#> $AFG$A
#> $AFG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.9951266 0.02227971 0.9670484 1.0184491
#> lag1_var2 -0.2306647 0.07246837 -0.3085457 -0.1422662
#> lag1_var3 -0.4145206 0.14779847 -0.5961156 -0.2531867
#> lag1_var4 0.3459569 0.12743688 0.2138449 0.5062183
#> const 3.6846623 0.93494504 2.5960566 4.7555378
#>
#> $AFG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.3640187 0.2419375 0.09367528 0.6545226
#> lag1_var2 -0.2173595 0.5619912 -0.89971543 0.2563327
#> lag1_var3 -2.6916705 0.9786887 -3.77817445 -1.6461751
#> lag1_var4 2.3760723 0.8148170 1.43573523 3.2189026
#> const 6.2371716 6.0180981 -1.17999352 12.4300476
#>
#> $AFG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.06598741 0.3912716 -0.5391235 0.3207637
#> lag1_var2 1.20537663 0.9321467 0.1270455 2.1806494
#> lag1_var3 4.59651768 1.6833915 2.6542686 6.2925330
#> lag1_var4 -3.36407513 1.4143436 -4.7813095 -1.7332448
#> const -5.69372771 7.3735860 -11.7249795 3.9597253
#>
#> $AFG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.08286471 0.3331556 -0.3166317 0.4115098
#> lag1_var2 1.21197353 0.8247160 0.2428190 2.0327322
#> lag1_var3 3.69196375 1.5365071 1.9005459 5.2200469
#> lag1_var4 -2.45691990 1.3106669 -3.7759005 -0.9280339
#> const -8.87153604 6.4514920 -14.4033335 -0.6702584
#>
#>
#>
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.01215445 0.001204212 0.01097825 0.01370659
#>
#> $AGO$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.04100386 0.007435712 -0.04695421 -0.03093713
#> Sigma[2,2] 0.26967579 0.019663752 0.24285412 0.28359243
#>
#> $AGO$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.06060684 0.01462650 0.04768953 0.07988096
#> Sigma[3,2] -0.30657203 0.07849525 -0.39683338 -0.21602326
#> Sigma[3,3] 0.67215355 0.18680262 0.44934899 0.87937209
#>
#> $AGO$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.02902752 0.01478212 0.01691746 0.04905146
#> Sigma[4,2] -0.09854709 0.08077054 -0.20297206 -0.02071416
#> Sigma[4,3] 0.48593551 0.15255575 0.29872035 0.65138902
#> Sigma[4,4] 0.47191921 0.11955581 0.31475741 0.57156438
#>
#>
#> $AGO$A
#> $AGO$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.1281003 0.04213245 1.0824376 1.1799355
#> lag1_var2 -0.7799815 0.07401686 -0.8697331 -0.6991907
#> lag1_var3 -1.1254059 0.09886800 -1.2291751 -1.0030257
#> lag1_var4 1.0124054 0.08511956 0.9111565 1.1081627
#> const 4.1743059 1.57347473 2.1773770 5.6981626
#>
#> $AGO$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.5405277 0.2102881 -0.7709605 -0.2837337
#> lag1_var2 2.7363772 0.3417515 2.4461658 3.1935160
#> lag1_var3 2.8262253 0.3542624 2.5103938 3.2869190
#> lag1_var4 -2.4717396 0.3469423 -2.9169396 -2.1349125
#> const -6.8119137 5.5303288 -10.9769146 0.7507629
#>
#> $AGO$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.4073657 0.2751185 0.06336644 0.6833553
#> lag1_var2 -0.7201337 0.3757071 -1.16543646 -0.2958320
#> lag1_var3 -1.0040500 0.5448755 -1.54246260 -0.3422515
#> lag1_var4 1.5750469 0.4130516 1.08865531 2.0283388
#> const 9.4271081 7.5122347 1.78077897 18.9199133
#>
#> $AGO$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.1392188 0.1602130 -0.3310143 0.0345427
#> lag1_var2 1.4091008 0.3174521 1.0033459 1.7149752
#> lag1_var3 1.2052115 0.5559400 0.4802997 1.7109349
#> lag1_var4 -0.2762818 0.4267887 -0.6676275 0.2825387
#> const 0.8766011 5.0892416 -3.4870580 7.7057224
#>
#>
#>
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.004140899 0.001808119 0.002225693 0.006378346
#>
#> $ALB$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.0877453 0.0444828 -0.1312959 -0.03073044
#> Sigma[2,2] 7.0270542 2.2366455 3.9460824 8.60234334
#>
#> $ALB$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.02738693 0.03284894 -0.01090023 0.06556812
#> Sigma[3,2] -3.60577138 0.95928469 -4.53960089 -2.37399117
#> Sigma[3,3] 4.16450244 0.51323719 3.58608349 4.63827501
#>
#> $ALB$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.03235271 0.02218456 -0.0598724 -0.01009231
#> Sigma[4,2] 1.20271355 1.24131991 0.0294814 2.68925557
#> Sigma[4,3] 2.10931231 0.79896614 1.3865087 3.17033609
#> Sigma[4,4] 3.44960343 0.62322419 2.8276321 4.14768621
#>
#>
#> $ALB$A
#> $ALB$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.90754249 0.01893303 0.88775583 0.93138065
#> lag1_var2 0.02549703 0.05347974 -0.04163101 0.08069194
#> lag1_var3 0.04112416 0.08493795 -0.06358530 0.13201474
#> lag1_var4 -0.03674649 0.07491012 -0.11580075 0.05639963
#> const 1.88549096 0.61046338 1.18655678 2.57628626
#>
#> $ALB$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -1.2620296 0.9009241 -2.4324761 -0.4159973
#> lag1_var2 2.1628008 1.4653621 0.4594416 3.6458115
#> lag1_var3 2.7087869 2.2825824 0.1193966 5.1016331
#> lag1_var4 -2.0954930 2.0105405 -4.0783245 0.2052769
#> const -0.9276599 13.1465009 -18.7675293 9.7177882
#>
#> $ALB$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.428536 1.331369 0.4326927 3.2357938
#> lag1_var2 -1.530331 1.771230 -3.7991959 0.2134580
#> lag1_var3 -1.892708 2.897856 -5.6330969 0.8402726
#> lag1_var4 2.207700 2.405969 -0.1173345 5.3010099
#> const 5.038840 6.644731 -1.5405344 13.5765783
#>
#> $ALB$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.5558824 1.295962 -0.47491600 2.0405187
#> lag1_var2 -0.4763303 1.268278 -2.20261050 0.4776451
#> lag1_var3 -0.6023810 2.093000 -3.47510036 0.9044910
#> lag1_var4 1.3838158 1.794771 0.04053706 3.8282852
#> const 1.8695293 16.414849 -20.25105712 15.8516472
#>
#>
#>
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.009746016 0.004175263 0.005275342 0.01439877
#>
#> $ARE$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.002041167 0.005388248 -0.009383922 0.001726181
#> Sigma[2,2] 0.152655222 0.015193633 0.137644651 0.171111596
#>
#> $ARE$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] -0.0009247672 0.00713337 -0.009018875 0.007567599
#> Sigma[3,2] -0.1561467609 0.04422371 -0.191961314 -0.100581987
#> Sigma[3,3] 0.3333043738 0.06447008 0.267028822 0.414308826
#>
#> $ARE$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.00210691 0.004278509 -0.007302843 0.002546514
#> Sigma[4,2] -0.03741508 0.035491695 -0.069591872 0.007749333
#> Sigma[4,3] 0.21734252 0.043865339 0.172621052 0.271718748
#> Sigma[4,4] 0.19420536 0.044771286 0.150985939 0.247512784
#>
#>
#> $ARE$A
#> $ARE$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.7977279 0.06362957 0.7293812 0.8755156
#> lag1_var2 0.6232198 0.24871130 0.3007480 0.8614703
#> lag1_var3 0.7653128 0.26217305 0.4193456 1.0008846
#> lag1_var4 -0.7223564 0.25531894 -0.9675533 -0.3909716
#> const 1.9801484 0.39546219 1.6224654 2.5052520
#>
#> $ARE$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.0624758 0.2301338 -0.3204277 0.17433425
#> lag1_var2 0.8895462 0.2959389 0.5382383 1.22222203
#> lag1_var3 0.5220708 0.3347830 0.1106692 0.88493890
#> lag1_var4 -0.4208969 0.3066945 -0.7371844 -0.03669539
#> const -4.8647173 1.4480276 -6.6084829 -3.23824100
#>
#> $ARE$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.9859943 0.3030091 0.6362883 1.3022629
#> lag1_var2 -1.0982301 0.8032326 -2.1991754 -0.5473033
#> lag1_var3 -0.5316865 1.1581424 -2.1131191 0.1632980
#> lag1_var4 1.1367232 1.1001724 0.3684464 2.6423471
#> const 4.2794597 1.3278297 2.6882256 5.4008236
#>
#> $ARE$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.9030690 0.1432188 0.7245834 1.0422286
#> lag1_var2 -0.4930967 0.7017889 -1.4189351 0.1345079
#> lag1_var3 -0.2258685 1.0236079 -1.6109297 0.4898118
#> lag1_var4 0.9329010 0.9935701 0.1826522 2.2663114
#> const -0.3879181 0.9043786 -1.4972840 0.5837445
#>
#>
#>
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.004606352 0.002368888 0.00319309 0.007888042
#>
#> $ARG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.09615459 0.0695162 -0.1886052 -0.03487084
#> Sigma[2,2] 5.18337250 3.4987749 2.7507252 9.98800992
#>
#> $ARG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.08780247 0.05231466 0.05259581 0.1591726
#> Sigma[3,2] -3.23679917 2.03047215 -5.99629988 -1.8852245
#> Sigma[3,3] 3.15841472 1.33312685 2.24358443 4.9792893
#>
#> $ARG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.03393080 0.01994409 0.01168094 0.05799322
#> Sigma[4,2] -0.09945354 0.33292617 -0.49603264 0.27226554
#> Sigma[4,3] 1.33969234 0.22630509 1.05259752 1.52404980
#> Sigma[4,4] 1.43940499 0.16822991 1.31464240 1.66937813
#>
#>
#> $ARG$A
#> $ARG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.90938921 0.01731469 0.8943765 0.9326562
#> lag1_var2 0.07941247 0.11633943 -0.0741143 0.1749062
#> lag1_var3 0.12739440 0.19215201 -0.1273843 0.2844670
#> lag1_var4 -0.12118326 0.18248229 -0.2690589 0.1211365
#> const 2.06170358 0.62880485 1.5715261 2.9052994
#>
#> $ARG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -1.2942012 0.7864183 -1.932435 -0.240503
#> lag1_var2 2.8701448 4.4310078 -1.549247 7.937608
#> lag1_var3 3.6628004 7.2781571 -3.639690 11.605187
#> lag1_var4 -3.0111904 6.7794369 -10.638680 3.626781
#> const -0.9140532 26.9873270 -38.021094 18.464407
#>
#> $ARG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.3969394 0.409685 0.04802605 0.9075709
#> lag1_var2 1.8953916 3.074518 -1.67961110 4.9771635
#> lag1_var3 3.6423033 5.021013 -2.40103125 8.6292879
#> lag1_var4 -2.9947814 4.785334 -7.64330709 2.8093610
#> const 7.7907625 15.028681 -8.06795653 26.5350930
#>
#> $ARG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.5226294 0.3536067 -0.8921708 -0.1137798
#> lag1_var2 3.8157572 1.3341290 2.3561158 5.3360338
#> lag1_var3 6.1423329 2.1042203 3.8421639 8.5084726
#> lag1_var4 -5.0292092 2.0882870 -7.2382278 -2.5664967
#> const 6.5138614 5.4976148 0.2788180 11.8089248
#>
#>
#>