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] 0.00538212 0.001838525 0.003295371 0.007567622
#>
#> $AFG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.01426148 0.005411084 -0.01984475 -0.007603145
#> Sigma[2,2] 0.22377942 0.087983977 0.14250827 0.339834033
#>
#> $AFG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.01899983 0.004689511 0.01270035 0.02291192
#> Sigma[3,2] -0.18882817 0.071204838 -0.26045447 -0.10071820
#> Sigma[3,3] 0.35263357 0.023373250 0.32419665 0.37499314
#>
#> $AFG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.01423706 0.003662737 0.01076175 0.01824057
#> Sigma[4,2] -0.10222294 0.044495380 -0.14517284 -0.04622410
#> Sigma[4,3] 0.30632567 0.016600176 0.28823618 0.32653767
#> Sigma[4,4] 0.29896889 0.041918879 0.26314777 0.35510772
#>
#>
#> $AFG$A
#> $AFG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.98812113 0.03067250 0.9564601 1.026697565
#> lag1_var2 -0.17152936 0.07654786 -0.2309439 -0.068226724
#> lag1_var3 -0.36549236 0.16741575 -0.5123019 -0.143048675
#> lag1_var4 0.32014708 0.15032534 0.1237735 0.456585277
#> const 2.44909023 0.96885410 1.3572432 3.512040881
#> exo1 -0.03191247 0.07025678 -0.1049016 0.053657547
#> exo2 -0.07318480 0.06968252 -0.1538884 0.003675175
#> exo3 -0.19831993 0.04181721 -0.2429030 -0.155788142
#>
#> $AFG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.3993933 0.2199639 0.19590698 0.68956018
#> lag1_var2 0.4684715 0.3592515 0.22503943 0.95792832
#> lag1_var3 -0.9787622 0.6718249 -1.51391149 -0.07827064
#> lag1_var4 0.8165615 0.5766668 0.07762192 1.34519424
#> const -0.7416077 8.6446255 -10.40542987 8.35074536
#> exo1 -0.3477887 0.6574861 -0.90657062 0.51953339
#> exo2 -0.1724078 0.3855705 -0.59123744 0.24744390
#> exo3 -0.1631474 0.7494275 -1.08178819 0.58514408
#>
#> $AFG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.03292239 0.3060737 -0.4255912 0.24739090
#> lag1_var2 1.07893470 0.1835277 0.8808241 1.25639445
#> lag1_var3 3.98053414 0.6478462 3.1132583 4.47513146
#> lag1_var4 -2.69165315 0.7072577 -3.2063064 -1.73481189
#> const -10.35700977 8.4204509 -16.7092345 0.93121768
#> exo1 -0.09945566 0.6466365 -0.9100504 0.53752545
#> exo2 -1.02259267 1.0361364 -2.3159725 0.07794533
#> exo3 -0.10508462 1.0412038 -1.1150469 1.24603318
#>
#> $AFG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.17876029 0.2629818 -0.1109237 0.45863284
#> lag1_var2 1.52132397 0.3156853 1.2299681 1.92679877
#> lag1_var3 4.09957856 0.8145149 3.1496658 5.04378787
#> lag1_var4 -2.68182479 0.7960554 -3.5424665 -1.70118854
#> const -20.48251071 8.7720833 -30.5850461 -10.46983403
#> exo1 -0.27278054 0.4492964 -0.7693532 0.19580671
#> exo2 -1.13446177 1.1341016 -2.6197810 -0.05150896
#> exo3 -0.05086959 0.7977797 -0.7751393 1.00977524
#>
#>
#>
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.005605952 0.000237931 0.005291779 0.005821405
#>
#> $AGO$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.009890036 0.003026826 -0.01337609 -0.006468747
#> Sigma[2,2] 0.127911064 0.028347239 0.09953957 0.160096515
#>
#> $AGO$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.007686159 0.002048215 0.005389534 0.009754031
#> Sigma[3,2] -0.050803389 0.005576821 -0.057653825 -0.044899689
#> Sigma[3,3] 0.035832145 0.005612826 0.030122303 0.042181395
#>
#> $AGO$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.0002871491 0.001344351 -0.001943338 0.001011847
#> Sigma[4,2] 0.0566632231 0.019332201 0.037400716 0.079066963
#> Sigma[4,3] -0.0061329656 0.006000655 -0.011348768 0.001760185
#> Sigma[4,4] 0.0451576338 0.020038507 0.027072994 0.066703843
#>
#>
#> $AGO$A
#> $AGO$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.00291715 0.02297576 0.975298470 1.02791286
#> lag1_var2 0.11191712 0.11481276 -0.046781410 0.17600512
#> lag1_var3 0.18223675 0.15435915 -0.026537027 0.25907087
#> lag1_var4 -0.12066781 0.12371319 -0.187533034 0.04840713
#> const -4.30369125 2.35665610 -6.513371809 -1.20426684
#> exo1 0.05577567 0.06897959 0.006398912 0.14937231
#> exo2 -0.05356074 0.12283403 -0.202839787 0.06986425
#> exo3 0.06698658 0.06324455 -0.001229830 0.14199062
#>
#> $AGO$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.08894063 0.1884975 -0.10226807 0.3244779
#> lag1_var2 0.89177936 0.2987833 0.66891412 1.2969257
#> lag1_var3 -0.18360022 0.2893423 -0.37269990 0.2121602
#> lag1_var4 0.22205057 0.2367243 -0.08911837 0.4236868
#> const -5.75650478 8.9779832 -17.05152188 2.7203085
#> exo1 0.11932643 0.5482506 -0.43488246 0.8219311
#> exo2 0.25684885 0.5303087 -0.41280202 0.7892439
#> exo3 -0.46234024 0.2539269 -0.74323076 -0.1549220
#>
#> $AGO$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.17904546 0.10035048 -0.2810009 -0.05593599
#> lag1_var2 -0.83062072 0.12669557 -0.9956609 -0.72103487
#> lag1_var3 -0.06268066 0.10146557 -0.1893978 0.03361768
#> lag1_var4 0.89936917 0.05536555 0.8423919 0.95998406
#> const 17.11866987 6.98886340 10.7909398 26.38203011
#> exo1 0.06950743 0.28743723 -0.2590953 0.40711523
#> exo2 -1.29083878 0.23074648 -1.5205835 -0.99421930
#> exo3 3.42390503 0.26767449 3.0875209 3.68535438
#>
#> $AGO$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.1892694 0.1011811 -0.29126861 -0.05940743
#> lag1_var2 -0.2115413 0.1528445 -0.38227924 -0.03147284
#> lag1_var3 -0.2507287 0.1474554 -0.33917374 -0.04955727
#> lag1_var4 1.2536535 0.1429956 1.06236776 1.37109188
#> const 4.6076422 3.8197768 1.28932852 9.72773010
#> exo1 0.2236478 0.1914157 0.03173666 0.46876953
#> exo2 -1.3738662 0.2176747 -1.65592347 -1.16257351
#> exo3 3.5897475 0.3600345 3.14205865 3.94838188
#>
#>
#>
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.001585368 0.0003087522 0.001316117 0.001995184
#>
#> $ALB$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.04994736 0.01324046 -0.06707947 -0.03743916
#> Sigma[2,2] 9.28497573 1.68007388 7.68073766 11.45022210
#>
#> $ALB$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.02429794 0.01231542 0.01321636 0.04042671
#> Sigma[3,2] -5.99532670 1.13693371 -7.25851819 -4.83184419
#> Sigma[3,3] 5.47811740 1.18681349 4.56102016 7.08971455
#>
#> $ALB$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.01155988 0.006926453 -0.01762138 -0.003274149
#> Sigma[4,2] 0.28880008 1.079393501 -1.09335319 1.361650974
#> Sigma[4,3] 1.73782606 0.822762727 0.77496320 2.693878689
#> Sigma[4,4] 2.33432055 0.233652282 2.02425027 2.544246540
#>
#>
#> $ALB$A
#> $ALB$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.02544234 0.03334748 0.99550210 1.06769496
#> lag1_var2 0.02981135 0.01410663 0.01865013 0.04889461
#> lag1_var3 0.03684128 0.01877294 0.01953931 0.06158991
#> lag1_var4 -0.02845170 0.01561987 -0.04816320 -0.01268741
#> const -1.16693509 1.00409664 -2.50680184 -0.36804451
#> exo1 0.01312363 0.06170342 -0.06259707 0.07647227
#> exo2 -0.05676370 0.03746606 -0.10810304 -0.02992031
#> exo3 0.10053009 0.05121724 0.04642028 0.16153964
#>
#> $ALB$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -6.0683124 2.647179 -8.9356096 -3.3783207
#> lag1_var2 3.4348243 1.510650 1.6152512 4.8885492
#> lag1_var3 4.9104494 2.202884 2.4721548 7.4293404
#> lag1_var4 -4.2023210 1.817778 -6.3214942 -2.3210167
#> const 104.5465157 75.405440 39.5585377 203.6479895
#> exo1 -2.0595749 2.581354 -5.3676196 0.5532024
#> exo2 3.0352667 2.867393 -0.1061907 6.2013335
#> exo3 -0.3309862 3.203489 -4.4237545 2.8837612
#>
#> $ALB$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 4.2723174 1.409215 2.731697 5.962382
#> lag1_var2 -3.1310295 1.722396 -5.453214 -1.827345
#> lag1_var3 -4.5212150 2.759476 -8.266971 -2.336795
#> lag1_var4 4.5876761 2.359619 2.674945 7.775515
#> const -44.6802135 22.752998 -75.027701 -24.417943
#> exo1 -0.7852701 1.839461 -2.575772 1.187707
#> exo2 -4.5142115 2.479087 -6.682863 -1.333576
#> exo3 -0.5026423 2.148999 -2.266217 2.325990
#>
#> $ALB$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.2466607 0.8730224 -0.9004764 1.00991660
#> lag1_var2 -1.4257620 1.3378376 -3.1678689 -0.17053605
#> lag1_var3 -2.0912786 2.0329353 -4.7341059 -0.21066646
#> lag1_var4 2.6449276 1.7032946 1.0643061 4.87725635
#> const 23.8753382 36.6440022 -4.1301942 70.19973216
#> exo1 -2.1553309 2.0397349 -3.5259733 0.62826565
#> exo2 -2.8576920 2.3059123 -6.0442282 -1.36187634
#> exo3 -0.8176951 0.7198421 -1.6397255 -0.04356012
#>
#>
#>
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.001320191 0.0002278342 0.001017306 0.001510259
#>
#> $ARE$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.0008093696 0.00158431 -0.002472382 0.001060648
#> Sigma[2,2] 0.0554275388 0.01490161 0.040409544 0.074363303
#>
#> $ARE$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] -0.000556799 0.003797098 -0.005604589 0.002581801
#> Sigma[3,2] -0.070003409 0.038738977 -0.115209784 -0.030815609
#> Sigma[3,3] 0.253476030 0.083858715 0.143414401 0.320451887
#>
#> $ARE$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.001202782 0.003087863 -0.005397997 0.0007578099
#> Sigma[4,2] -0.026250426 0.027905060 -0.056680955 0.0017114146
#> Sigma[4,3] 0.204449072 0.068300565 0.116059204 0.2695792571
#> Sigma[4,4] 0.191374644 0.063250073 0.112278038 0.2581981814
#>
#>
#> $ARE$A
#> $ARE$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.936485231 0.02207435 0.90969863 0.95731614
#> lag1_var2 -0.007358181 0.04499033 -0.06159245 0.04016371
#> lag1_var3 -0.026737600 0.06000619 -0.09850074 0.04086572
#> lag1_var4 0.035098998 0.05058100 -0.02237900 0.09487581
#> const 1.039830114 0.41467277 0.62196771 1.52480262
#> exo1 -0.019329849 0.03760428 -0.05973000 0.02678755
#> exo2 -0.124928110 0.03031681 -0.15166958 -0.08654181
#> exo3 -0.025969352 0.03529510 -0.05722461 0.02030397
#>
#> $ARE$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.09565612 0.2807204 -0.4202777 0.2294198
#> lag1_var2 -0.02928427 0.2188261 -0.3004819 0.1479016
#> lag1_var3 -1.07386489 0.2987946 -1.4073829 -0.7422573
#> lag1_var4 1.06197319 0.2941937 0.7071881 1.3729241
#> const 3.92427211 3.0756414 0.3095745 7.0795243
#> exo1 -0.04090656 0.2075827 -0.2837451 0.1868541
#> exo2 1.96628280 0.2941270 1.6864947 2.3502932
#> exo3 -1.01643590 0.4982949 -1.6838040 -0.6156963
#>
#> $ARE$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.7974904 0.6805811 -0.08566219 1.4134047
#> lag1_var2 3.3522050 0.9199437 2.69011008 4.5993937
#> lag1_var3 5.0103412 1.0789980 4.05483409 6.4493198
#> lag1_var4 -4.1455757 0.9688413 -5.43892886 -3.2812010
#> const -11.0796123 7.4225965 -18.51136365 -2.2169886
#> exo1 -0.7544955 0.4512710 -1.35147517 -0.3783645
#> exo2 -1.6781736 0.4670177 -2.31209594 -1.2980007
#> exo3 -0.9277800 1.0121347 -1.73709220 0.4291324
#>
#> $ARE$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.6861934 0.6356588 -0.02517403 1.2863821
#> lag1_var2 3.4944106 0.8376781 2.75249320 4.6039262
#> lag1_var3 4.3995085 1.0135099 3.50056479 5.7302625
#> lag1_var4 -3.5048993 0.9251772 -4.73607601 -2.7411770
#> const -10.0510054 5.0522430 -15.35974824 -3.9744359
#> exo1 -0.7896116 0.3833184 -1.25811595 -0.3740271
#> exo2 -0.1233370 0.5706761 -0.82318274 0.4703721
#> exo3 -1.7255940 0.7157769 -2.32749690 -0.7618983
#>
#>
#>
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.002709717 0.0006469656 0.001935122 0.003414649
#>
#> $ARG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.05729192 0.008812552 -0.06703638 -0.0467465
#> Sigma[2,2] 2.88286064 0.624121136 2.16317613 3.5685463
#>
#> $ARG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.04353204 0.01108308 0.02934977 0.05477773
#> Sigma[3,2] -2.07530676 0.53845056 -2.57139424 -1.40550059
#> Sigma[3,3] 1.69239359 0.48390816 1.08680200 2.17678039
#>
#> $ARG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.009656682 0.006444902 0.001233467 0.01582049
#> Sigma[4,2] -0.354288943 0.205684153 -0.588239538 -0.11099202
#> Sigma[4,3] 0.474911111 0.182078806 0.267833313 0.68886045
#> Sigma[4,4] 0.290035865 0.060664300 0.228809462 0.36684340
#>
#>
#> $ARG$A
#> $ARG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.94993173 0.06856781 0.897246285 1.03632748
#> lag1_var2 0.06564405 0.13256324 -0.037049217 0.23245621
#> lag1_var3 0.10687554 0.22053045 -0.065482905 0.38401807
#> lag1_var4 -0.10491138 0.20081443 -0.358649355 0.05895907
#> const 1.24315922 1.40900397 -0.476247871 2.72883945
#> exo1 0.04676251 0.05105439 0.002300557 0.11129889
#> exo2 -0.13957560 0.04803974 -0.199789386 -0.09300866
#> exo3 0.03513345 0.06006080 -0.032534722 0.10686599
#>
#> $ARG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -2.4706339 0.8305971 -3.1133268 -1.3377640
#> lag1_var2 -0.1666014 1.1053278 -1.6888743 0.5995874
#> lag1_var3 -1.4215058 1.7865209 -3.8861067 -0.1932127
#> lag1_var4 1.6017536 1.6893664 0.4140728 3.9017780
#> const 58.5166940 18.2572388 35.8644836 78.1819097
#> exo1 -1.1764850 2.2535923 -3.8849722 1.3134200
#> exo2 2.1096262 0.5493400 1.5521851 2.7893047
#> exo3 -0.1209508 0.9364644 -0.8577144 1.1218766
#>
#> $ARG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.2316810 0.9181408 0.1183394 2.1764790
#> lag1_var2 0.4931085 1.7895075 -0.7906682 2.8719550
#> lag1_var3 1.4896559 2.9731211 -0.6516462 5.4390920
#> lag1_var4 -0.8166896 2.6594550 -4.3937166 1.0712100
#> const -15.1377715 15.1266499 -33.6914169 -0.4986045
#> exo1 0.1734487 1.1629658 -1.2151042 1.4554640
#> exo2 -5.1146411 0.5952948 -5.7754582 -4.5213713
#> exo3 2.6883372 0.8430978 1.5277118 3.2709977
#>
#> $ARG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.3459351 0.5310122 -0.8298054 0.3276510
#> lag1_var2 0.3578882 1.1746240 -0.5043873 1.8575696
#> lag1_var3 0.5683776 1.9947331 -0.9135614 3.1061874
#> lag1_var4 0.2920468 1.7470422 -1.9618028 1.6097298
#> const 17.7515824 9.1772021 11.0434897 30.2722896
#> exo1 -0.6296955 0.3095211 -1.0494515 -0.4606588
#> exo2 -4.3753822 0.3227945 -4.6962035 -3.9730485
#> exo3 2.9565223 0.5261452 2.4240538 3.6128990
#>
#>
#>