Provides posterior estimation summary for Bayesian Hierarchical Panel Vector Autoregressions
Source:R/summary.R
summary.PosteriorBVARPANEL.RdProvides posterior mean, standard deviations, as well as 5 and 95
percentiles of the parameters for all C countries.
Usage
# S3 method for class 'PosteriorBVARPANEL'
summary(object, ...)Arguments
- object
an object of class
PosteriorBVARPANELobtained 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_bvarPANEL$new(
ilo_dynamic_panel[1:5],
exogenous = ilo_exogenous_variables[1:5])
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] 0.004267575 0.001307135 0.002977529 0.005683347
#>
#> $AFG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.005387568 0.002976459 -0.008989907 -0.002215212
#> Sigma[2,2] 0.184975093 0.056288953 0.120408791 0.244089021
#>
#> $AFG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] -0.0000970187 0.003908566 -0.003788169 0.004348844
#> Sigma[3,2] -0.1556452810 0.032353789 -0.197562041 -0.123967669
#> Sigma[3,3] 0.2619758847 0.054705308 0.225489548 0.336816166
#>
#> $AFG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.002552941 0.003323607 -0.005368814 0.001323099
#> Sigma[4,2] -0.086963029 0.036565080 -0.134943446 -0.054212789
#> Sigma[4,3] 0.223595238 0.052290988 0.183513033 0.293640011
#> Sigma[4,4] 0.214522585 0.048216941 0.169991378 0.275647112
#>
#>
#> $AFG$A
#> $AFG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.979248925 0.02509178 0.94739152 1.00449385
#> lag1_var2 0.348694990 0.20676488 0.18645200 0.62981245
#> lag1_var3 0.760218869 0.41852134 0.41543659 1.32332700
#> lag1_var4 -0.656269225 0.35794057 -1.13584858 -0.35851921
#> const -4.263620564 3.06922768 -8.36385201 -1.88958630
#> exo1 -0.047808177 0.06060225 -0.12160761 0.01779976
#> exo2 -0.004987165 0.04206296 -0.05100316 0.04629350
#> exo3 -0.093415451 0.04042184 -0.14582361 -0.06045442
#>
#> $AFG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.3025735 0.2992221 -0.03187868 0.6567830
#> lag1_var2 -0.5308069 1.0691777 -1.86028468 0.5376325
#> lag1_var3 -3.3130102 2.1211610 -5.83743587 -1.1617339
#> lag1_var4 2.8670577 1.7973449 1.03271618 4.9617119
#> const 13.9530832 13.3489033 -0.18350129 29.0273170
#> exo1 -0.2469187 0.1472203 -0.42465702 -0.1061154
#> exo2 -0.2829364 0.6182614 -0.82250121 0.5219721
#> exo3 -0.5565186 0.1376841 -0.71339909 -0.3927908
#>
#> $AFG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.1304364 0.2459549 -0.41030065 0.15670669
#> lag1_var2 2.9940854 1.9348253 1.04923069 5.18249259
#> lag1_var3 8.1405428 4.0733774 4.05154855 12.58139666
#> lag1_var4 -6.2963645 3.5227503 -10.08311887 -2.75460203
#> const -33.8918003 25.6921115 -61.55412046 -8.96262606
#> exo1 0.1508547 0.2124643 -0.08218714 0.40815806
#> exo2 -0.5773910 0.7330420 -1.47396100 0.07428112
#> exo3 0.9055835 0.5482086 0.36306072 1.59656998
#>
#> $AFG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.009289361 0.1524202 -0.1691345 0.1590311
#> lag1_var2 3.132471022 1.7814155 1.3773907 5.0342386
#> lag1_var3 7.499523605 3.7552349 3.8576916 11.5743527
#> lag1_var4 -5.613285737 3.2555721 -9.1686613 -2.4601563
#> const -38.329952602 23.9460691 -65.3272285 -15.7798092
#> exo1 0.031160929 0.2536133 -0.2800532 0.2998303
#> exo2 -0.719412789 0.5483860 -1.3624489 -0.2227128
#> exo3 0.845640556 0.5734273 0.2410462 1.5526064
#>
#>
#>
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.01246643 0.002730126 0.009894819 0.01604231
#>
#> $AGO$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.01568049 0.002867518 -0.01891284 -0.01246544
#> Sigma[2,2] 0.11495743 0.019383959 0.09039452 0.13150063
#>
#> $AGO$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.01592955 0.002420318 0.01285950 0.01832723
#> Sigma[3,2] -0.05311259 0.008576480 -0.06200087 -0.04359818
#> Sigma[3,3] 0.04126643 0.005550247 0.03581631 0.04743728
#>
#> $AGO$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.006449014 0.003071215 0.002722379 0.009804965
#> Sigma[4,2] 0.038624412 0.008863522 0.026794435 0.045934920
#> Sigma[4,3] 0.002798036 0.004199872 -0.002951757 0.005979184
#> Sigma[4,4] 0.039051796 0.007729225 0.029809949 0.047732166
#>
#>
#> $AGO$A
#> $AGO$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.8740982 0.04122313 0.83588092 0.92684524
#> lag1_var2 1.7929538 0.04618192 1.73138516 1.83163036
#> lag1_var3 2.3572854 0.04531563 2.31136428 2.41518656
#> lag1_var4 -2.0443386 0.02093589 -2.07117916 -2.02572629
#> const -20.5959818 2.34164360 -22.20799860 -17.40966251
#> exo1 0.1056167 0.11700145 -0.03724949 0.21402951
#> exo2 -0.1501859 0.08805812 -0.23263175 -0.05008500
#> exo3 -0.2386163 0.15949300 -0.39695768 -0.04368533
#>
#> $AGO$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.13617150 0.1431458 -0.04272541 0.2691784
#> lag1_var2 -1.28450229 0.3179090 -1.68123304 -0.9500668
#> lag1_var3 -2.86973013 0.5455545 -3.44956129 -2.2017602
#> lag1_var4 2.61357909 0.3686261 2.18041472 3.0015165
#> const 17.56507321 14.2369075 3.46715016 35.6342463
#> exo1 -0.03677451 0.1816784 -0.22138659 0.1700756
#> exo2 0.60537050 0.3387055 0.32941062 1.0477880
#> exo3 -0.05500249 0.5859915 -0.52437793 0.7134631
#>
#> $AGO$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.3167122 0.0702493 -0.3700776 -0.2358682
#> lag1_var2 0.9076741 0.2326483 0.6573755 1.1947475
#> lag1_var3 2.1586535 0.3390869 1.8482216 2.5776812
#> lag1_var4 -1.1000668 0.2403655 -1.3945310 -0.8903818
#> const 2.9638093 8.2567323 -7.4538864 11.5697579
#> exo1 0.1666893 0.2321820 -0.1222777 0.3774155
#> exo2 -1.6440531 0.2102761 -1.8690901 -1.4236628
#> exo3 2.9109335 0.2850512 2.6118596 3.2623455
#>
#> $AGO$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.2976065 0.0750044 -0.39022978 -0.24209072
#> lag1_var2 -0.2032718 0.1910996 -0.37689784 0.04858337
#> lag1_var3 -0.1948756 0.2570480 -0.39594547 0.15366533
#> lag1_var4 1.1595698 0.1686751 0.93479134 1.30432945
#> const 10.8096527 8.9401929 -0.16687856 19.72785201
#> exo1 0.1853037 0.1354749 0.00146791 0.28833324
#> exo2 -1.4745672 0.2505052 -1.81928582 -1.31716720
#> exo3 3.2899779 0.3763165 2.86996816 3.60363054
#>
#>
#>
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.004820008 0.002220981 0.002331044 0.007234588
#>
#> $ALB$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.09526599 0.04979173 -0.1563215 -0.05187957
#> Sigma[2,2] 7.43588048 1.96369105 6.0221472 10.12760673
#>
#> $ALB$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.02752732 0.03753612 -0.01847694 0.06379928
#> Sigma[3,2] -4.16711026 0.65302279 -4.84068869 -3.33747299
#> Sigma[3,3] 4.32052641 0.78676527 3.64298259 5.37620243
#>
#> $ALB$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.04654157 0.02421419 -0.07788442 -0.02680391
#> Sigma[4,2] 1.08640685 1.19291732 -0.13408154 2.58693201
#> Sigma[4,3] 1.84074067 1.47974412 0.74048843 3.87161376
#> Sigma[4,4] 3.19704509 1.85426954 1.87803248 5.75103235
#>
#>
#> $ALB$A
#> $ALB$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.96482117 0.04291785 0.91554612 1.006311409
#> lag1_var2 -0.07856737 0.06534524 -0.15916007 -0.007605265
#> lag1_var3 -0.13108649 0.10143896 -0.25686129 -0.022847807
#> lag1_var4 0.10832064 0.08080433 0.02192985 0.208240218
#> const 2.20088425 2.25039607 -0.14897450 4.907634505
#> exo1 0.03468264 0.06817732 -0.05091553 0.100902475
#> exo2 -0.09045626 0.08333796 -0.19856980 -0.012805286
#> exo3 0.04836492 0.03421747 0.01313983 0.090635144
#>
#> $ALB$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -5.62454435 1.4940120 -7.1327100 -3.8338218
#> lag1_var2 5.13249514 1.3098997 3.6087456 6.6464947
#> lag1_var3 7.78217932 1.7891422 5.7433972 9.8821228
#> lag1_var4 -6.58585230 1.4585736 -8.1616407 -4.9077648
#> const 65.67661199 61.3324415 -10.9019576 126.9341533
#> exo1 -2.47004754 2.1526665 -5.1107472 -0.1765289
#> exo2 -0.04911157 0.8528094 -0.7261577 0.9702707
#> exo3 -0.83165222 1.4232042 -2.1608527 1.0022966
#>
#> $ALB$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 5.0802775 2.225597 3.3289507 8.1139620
#> lag1_var2 -1.9523301 2.820947 -4.2942574 1.8254682
#> lag1_var3 -2.9187539 4.176608 -6.3606978 2.6754658
#> lag1_var4 3.2559069 3.399504 -1.3192555 5.9231166
#> const -82.8622373 102.433811 -219.5957099 7.5266993
#> exo1 -0.5788315 2.534224 -3.6915237 2.1838385
#> exo2 -0.2454047 0.655091 -1.0440061 0.4661791
#> exo3 0.3512570 1.320576 -0.9184652 2.0599577
#>
#> $ALB$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.7006798 1.893750 0.3638234 4.2506429
#> lag1_var2 1.4386885 2.692490 -0.5820638 5.1202027
#> lag1_var3 2.2638732 4.121465 -0.8232561 7.8988607
#> lag1_var4 -0.9759403 3.400659 -5.6307348 1.5444350
#> const -57.2963875 89.233571 -178.5573190 9.6694233
#> exo1 -2.2126706 2.308747 -5.3989500 -0.6998666
#> exo2 -0.1697378 0.418242 -0.6396461 0.2525255
#> exo3 -0.2040504 1.737398 -1.9133302 1.8925102
#>
#>
#>
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.001530444 0.0001297403 0.001430796 0.001707083
#>
#> $ARE$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.002951799 0.0006565832 -0.003849439 -0.002517166
#> Sigma[2,2] 0.049339747 0.0088741827 0.038732689 0.057825025
#>
#> $ARE$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.005857168 0.002557117 0.003425665 0.009049622
#> Sigma[3,2] -0.060392492 0.020411482 -0.083486826 -0.036893529
#> Sigma[3,3] 0.172025874 0.033287728 0.131498194 0.208618754
#>
#> $ARE$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.003855773 0.002264848 0.001639353 0.006555812
#> Sigma[4,2] -0.023196742 0.014611393 -0.041297858 -0.007795574
#> Sigma[4,3] 0.129830132 0.018251258 0.106788099 0.148839990
#> Sigma[4,4] 0.116125095 0.008810557 0.104270599 0.122651227
#>
#>
#> $ARE$A
#> $ARE$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.9262152891 0.05342286 0.85849964 0.98147455
#> lag1_var2 0.8903613239 0.04818795 0.84464227 0.95284010
#> lag1_var3 1.1324945849 0.07578903 1.06200183 1.23062022
#> lag1_var4 -1.0981808358 0.08274643 -1.21042755 -1.03052794
#> const -0.6985042349 0.44033403 -1.16594173 -0.18673778
#> exo1 -0.0007125296 0.02611427 -0.03237868 0.02544050
#> exo2 -0.0824853657 0.03311447 -0.12669872 -0.05464484
#> exo3 0.0407412099 0.05296842 -0.02785404 0.08901557
#>
#> $ARE$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.07872051 0.4026418 -0.2351465 0.5951887
#> lag1_var2 -0.72815414 0.1554531 -0.9228910 -0.5974491
#> lag1_var3 -1.95606458 0.3180568 -2.3744736 -1.6757232
#> lag1_var4 1.87299507 0.3943401 1.4560058 2.3416721
#> const 4.81279066 3.2560850 1.5668964 8.9342493
#> exo1 0.03976645 0.3729180 -0.3647219 0.4134447
#> exo2 1.99960851 0.1686049 1.7994425 2.1615997
#> exo3 -0.78313829 0.3521598 -1.1558242 -0.3611617
#>
#> $ARE$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.3449967 0.6378780 -0.3913764 0.9302573
#> lag1_var2 4.1056369 0.4154581 3.6746343 4.6291559
#> lag1_var3 5.9519436 0.7319773 5.4398002 6.9523617
#> lag1_var4 -4.8933739 0.8023016 -5.9430370 -4.1922211
#> const -14.0619217 8.1815805 -25.1200621 -7.6382310
#> exo1 -0.3721320 0.6040368 -0.8245094 0.4303838
#> exo2 -2.4263692 0.3809923 -2.7363126 -1.9107805
#> exo3 -1.4373720 0.5296831 -1.8275853 -0.7144007
#>
#> $ARE$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.3731474 0.3523141 -0.02012987 0.7079087
#> lag1_var2 3.6221986 0.3053513 3.28152728 3.9921539
#> lag1_var3 4.5331101 0.4929900 4.17250224 5.2071401
#> lag1_var4 -3.5045004 0.5122976 -4.18927686 -3.1178379
#> const -12.1346404 5.7846639 -19.82800130 -7.3852251
#> exo1 -0.3529540 0.4137708 -0.73386340 0.1879445
#> exo2 -0.9037849 0.3070202 -1.14969287 -0.4884161
#> exo3 -2.1108814 0.3477551 -2.39325148 -1.6449857
#>
#>
#>
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.003575472 0.001257068 0.002373239 0.005151975
#>
#> $ARG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.0367128 0.01638649 -0.0557487 -0.01918167
#> Sigma[2,2] 2.8272598 0.83725051 1.8628680 3.75894647
#>
#> $ARG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.03371713 0.0137613 0.01845149 0.04735589
#> Sigma[3,2] -2.01757481 0.5205178 -2.48635335 -1.35436722
#> Sigma[3,3] 1.68199423 0.3560158 1.22972596 2.03069980
#>
#> $ARG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.01377307 0.005713275 0.006407722 0.01925939
#> Sigma[4,2] -0.32648277 0.141142763 -0.484429165 -0.16757660
#> Sigma[4,3] 0.50656780 0.128773533 0.358495170 0.65352388
#> Sigma[4,4] 0.34810162 0.074269144 0.283815191 0.44772710
#>
#>
#> $ARG$A
#> $ARG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.81355278 0.03906094 0.77489140 0.857841291
#> lag1_var2 0.71765314 0.27794149 0.33707061 0.918847670
#> lag1_var3 1.17734477 0.44994681 0.56132641 1.506846621
#> lag1_var4 -1.07561517 0.40829854 -1.36923418 -0.515697569
#> const -1.14808634 2.45086726 -3.90040230 1.634185410
#> exo1 0.04839449 0.07334165 -0.02873929 0.126489438
#> exo2 -0.08510076 0.03572897 -0.11472444 -0.037487199
#> exo3 -0.06350517 0.05322012 -0.11979276 0.001664888
#>
#> $ARG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -4.2773097 1.897090 -6.6082083 -2.446372
#> lag1_var2 -2.7657384 4.070643 -6.2984277 2.590050
#> lag1_var3 -5.5390533 6.809515 -11.1775202 3.521470
#> lag1_var4 5.4979875 5.945440 -2.2883387 10.741198
#> const 121.5160084 36.796390 89.0118675 170.447054
#> exo1 -1.1875912 1.794539 -2.5957885 1.251069
#> exo2 3.0101929 1.612846 0.8807326 4.438371
#> exo3 0.5335677 2.112221 -2.1761223 2.621230
#>
#> $ARG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.6777702 1.196625 0.61468146 3.0097559
#> lag1_var2 3.7990580 2.989064 0.03453437 6.6449444
#> lag1_var3 6.8169074 4.993259 0.45818393 11.5382865
#> lag1_var4 -5.7688629 4.322439 -9.99653319 -0.3577383
#> const -50.5450153 36.786492 -98.22584859 -15.8631702
#> exo1 0.3300913 1.387018 -1.56084922 1.3586526
#> exo2 -5.6032918 1.077894 -6.48690780 -4.2798420
#> exo3 2.5872718 1.362792 0.82042518 3.8920469
#>
#> $ARG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -1.0720276 0.3357600 -1.448123 -0.6889254
#> lag1_var2 2.2523522 0.9797030 1.263767 3.3452446
#> lag1_var3 3.6631194 1.6149175 2.025353 5.4943978
#> lag1_var4 -2.5435168 1.4102763 -4.208078 -1.1488762
#> const 21.4584599 18.7770681 2.116897 45.0949300
#> exo1 -0.4433735 0.6204755 -1.176262 0.1632336
#> exo2 -4.2541342 0.7683301 -4.927151 -3.2491682
#> exo3 3.2450289 0.8029106 2.487266 4.2671312
#>
#>
#>