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] 0.01469882 0.02030943 0.004777633 0.0420366
#>
#> $AFG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.004524027 0.03018404 -0.02737295 0.0366309
#> Sigma[2,2] 0.431796293 0.21387407 0.22509739 0.7046896
#>
#> $AFG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] -0.01176859 0.05295649 -0.08460129 0.02316256
#> Sigma[3,2] -0.28747447 0.12891953 -0.40115692 -0.13449580
#> Sigma[3,3] 0.38426460 0.20985513 0.20376232 0.66520254
#>
#> $AFG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.01595256 0.04662849 -0.07967298 0.0129938462
#> Sigma[4,2] -0.11276619 0.11010593 -0.25343329 -0.0007552898
#> Sigma[4,3] 0.30319093 0.19760253 0.16833091 0.5744995648
#> Sigma[4,4] 0.30051434 0.18049607 0.19966624 0.5485201741
#>
#>
#> $AFG$A
#> $AFG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.93781653 0.02885884 0.91399148 0.97599215
#> lag1_var2 0.19131585 0.10438076 0.06831550 0.29823154
#> lag1_var3 0.43578041 0.27695200 0.14227698 0.75133503
#> lag1_var4 -0.38822630 0.26343477 -0.70547967 -0.12430333
#> const -0.63489640 1.11943195 -1.74740807 0.75823053
#> exo1 0.06249123 0.03746911 0.01379976 0.09665209
#> exo2 -0.07473441 0.16083364 -0.29368113 0.01735709
#> exo3 -0.11437224 0.17700553 -0.26845155 0.10825939
#>
#> $AFG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.6630908 0.3737610 0.3093744 1.0551968
#> lag1_var2 -1.0157093 1.0969625 -2.2833857 0.1934028
#> lag1_var3 -3.7494216 2.0069108 -6.1767450 -1.5683492
#> lag1_var4 3.0870612 1.6842742 1.2583954 5.1303121
#> const 18.1149733 10.9352933 6.3920498 28.8882270
#> exo1 -0.3892587 1.1640489 -1.7190977 0.9823487
#> exo2 -0.1437050 0.3261892 -0.5636470 0.1350363
#> exo3 -0.6641669 0.6308388 -1.5207264 -0.1786031
#>
#> $AFG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.2797007 0.1646852 -0.4487763 -0.100057142
#> lag1_var2 1.9916847 0.8363061 1.0462055 2.984458569
#> lag1_var3 5.6332877 1.8880392 3.4384808 7.815429720
#> lag1_var4 -4.0341844 1.7232363 -5.9779645 -2.008307797
#> const -20.3333001 6.5212212 -29.1005056 -14.770059196
#> exo1 0.0454860 0.7173504 -0.8202533 0.847083370
#> exo2 -0.8831793 0.8299453 -1.7179657 -0.002974364
#> exo3 0.1369006 0.9140141 -1.0528406 1.011583396
#>
#> $AFG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.01093931 0.1149955 -0.1468608 0.11821455
#> lag1_var2 1.32201925 0.6010994 0.6964299 2.01604885
#> lag1_var3 3.52432901 1.4217937 1.9250128 5.09518624
#> lag1_var4 -2.15264375 1.3231016 -3.5678740 -0.62071065
#> const -14.54568615 5.3916209 -21.3722728 -9.67165523
#> exo1 -0.12072537 0.2939770 -0.4498686 0.21658391
#> exo2 -0.99469152 0.9523165 -2.0364186 0.04203958
#> exo3 -0.15419956 0.9854489 -1.5137874 0.49910698
#>
#>
#>
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.009848275 0.002301732 0.006673491 0.01144618
#>
#> $AGO$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.007084449 0.005943662 -0.01308393 0.0005133205
#> Sigma[2,2] 0.119153347 0.020570497 0.09591506 0.1415213681
#>
#> $AGO$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.006413462 0.003308054 0.002925746 0.01009665
#> Sigma[3,2] -0.049833047 0.008120199 -0.058723861 -0.04107713
#> Sigma[3,3] 0.034197208 0.006147799 0.026208464 0.04004631
#>
#> $AGO$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.003504452 0.003458883 0.0008213882 0.008180151
#> Sigma[4,2] 0.051260306 0.010514075 0.0389420439 0.062451893
#> Sigma[4,3] -0.008072087 0.007688424 -0.0152969790 0.001862592
#> Sigma[4,4] 0.038404106 0.004503099 0.0326049849 0.042699510
#>
#>
#> $AGO$A
#> $AGO$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.9104932 0.02993527 0.8775663 0.93962929
#> lag1_var2 0.4662573 0.08220294 0.3878791 0.56943258
#> lag1_var3 0.6364010 0.11205393 0.5313385 0.75946482
#> lag1_var4 -0.5890678 0.10574408 -0.7128130 -0.49218217
#> const -1.0138047 0.95353657 -2.1282207 0.01386799
#> exo1 0.0692661 0.03894137 0.0210587 0.11127498
#> exo2 -0.1098839 0.14146004 -0.2496587 0.04215046
#> exo3 -0.1816590 0.17144115 -0.3242261 0.04882611
#>
#> $AGO$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.06081276 0.1325492 -0.17741088 0.09781109
#> lag1_var2 0.92208485 0.4533037 0.55251680 1.47406069
#> lag1_var3 -0.02435489 0.6720675 -0.61335935 0.78009446
#> lag1_var4 0.08362120 0.6104583 -0.65447783 0.62738389
#> const -2.19110709 3.0393514 -4.95341436 1.74878826
#> exo1 0.10367647 0.3046760 -0.24637945 0.38490178
#> exo2 0.20870837 0.2073282 0.02149222 0.47728870
#> exo3 -0.68541548 0.3614132 -1.12365068 -0.30525437
#>
#> $AGO$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.118333252 0.07535843 -0.19802568 -0.0263322
#> lag1_var2 0.059513648 0.12282954 -0.08077065 0.1966078
#> lag1_var3 1.099441692 0.22011185 0.86307550 1.3325001
#> lag1_var4 -0.058376763 0.19533566 -0.25530738 0.1574467
#> const -0.003724951 2.33007433 -2.54881254 2.7279690
#> exo1 0.016116014 0.10514281 -0.09167347 0.1487756
#> exo2 -1.263687718 0.17244200 -1.42356433 -1.0375192
#> exo3 3.479132082 0.30871232 3.17124694 3.8765457
#>
#> $AGO$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.2958795 0.04401515 -0.33653609 -0.2465178
#> lag1_var2 0.6666459 0.24243041 0.43480647 0.9286137
#> lag1_var3 0.9445705 0.33775311 0.61657254 1.3100332
#> lag1_var4 0.2090267 0.30816088 -0.13189772 0.5135257
#> const -3.6823540 1.76807682 -5.89714299 -2.0396585
#> exo1 0.1777847 0.20863834 -0.09181932 0.3529759
#> exo2 -1.4566803 0.14085170 -1.58217125 -1.2829555
#> exo3 3.2448404 0.13223166 3.07178934 3.3654303
#>
#>
#>
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.003220013 0.0007663079 0.002224907 0.003966237
#>
#> $ALB$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.1031385 0.05721412 -0.1784557 -0.05182315
#> Sigma[2,2] 9.7954077 4.58359189 7.1582838 16.06017348
#>
#> $ALB$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.04001786 0.02127952 0.0133795 0.06234073
#> Sigma[3,2] -5.07822839 1.43854948 -6.6175738 -3.35747266
#> Sigma[3,3] 4.65285517 1.15837087 3.6453398 6.18483803
#>
#> $ALB$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.03306923 0.02625541 -0.06790702 -0.01018509
#> Sigma[4,2] 1.66474761 2.64207700 -0.89751568 5.08595814
#> Sigma[4,3] 1.54067189 1.05236960 0.32828500 2.76104713
#> Sigma[4,4] 3.16327539 1.09909378 2.23636709 4.57009370
#>
#>
#> $ALB$A
#> $ALB$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.982529837 0.03610094 0.94595181 1.024487957
#> lag1_var2 -0.022559961 0.01245883 -0.03234333 -0.006354767
#> lag1_var3 -0.045558122 0.02353476 -0.06344632 -0.014562249
#> lag1_var4 0.036947558 0.02124108 0.01079009 0.055273661
#> const 0.876039376 0.94131041 -0.34275265 1.771985210
#> exo1 -0.008667986 0.08808081 -0.09741375 0.100178425
#> exo2 -0.057481479 0.03933594 -0.09869363 -0.009746337
#> exo3 0.050054917 0.06837247 -0.04380067 0.093253666
#>
#> $ALB$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -2.376718 1.573622 -4.4704925 -1.0491806
#> lag1_var2 2.160216 2.536642 -0.3951972 5.3624615
#> lag1_var3 3.052114 4.096987 -0.8462533 8.3226750
#> lag1_var4 -2.337763 3.533201 -6.8884149 0.9631566
#> const 22.718616 23.483935 -3.7519690 45.1506515
#> exo1 2.496050 4.041359 -3.0281679 5.3186984
#> exo2 -1.336709 2.623826 -4.6645185 1.3693381
#> exo3 -3.713461 2.889683 -5.9556318 0.1654766
#>
#> $ALB$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.8968738 0.8561586 0.9323273 2.6974347
#> lag1_var2 -1.5572048 1.3115369 -3.2699683 -0.3190992
#> lag1_var3 -1.9440499 2.1953356 -4.7839925 0.1647109
#> lag1_var4 2.2499491 1.8520992 0.5739813 4.6901690
#> const -5.4966524 21.5088863 -34.1788126 13.5573914
#> exo1 -3.1289671 2.0830517 -4.4990753 -0.2524282
#> exo2 -0.2054825 1.3065198 -1.7224333 1.2521119
#> exo3 2.5629175 1.5642526 0.6136848 4.2075103
#>
#> $ALB$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.2188089 1.000383 -0.6448058 1.5565215
#> lag1_var2 -0.6021670 1.646663 -2.7603255 0.9652267
#> lag1_var3 -0.5497206 2.579468 -3.9455167 1.8777523
#> lag1_var4 1.3810874 2.131763 -0.6585945 4.1731722
#> const 9.3875885 14.377966 -10.1409590 20.4246825
#> exo1 -1.2525111 1.035056 -2.4548728 -0.1582065
#> exo2 -1.1694825 1.155438 -2.4050380 0.2577840
#> exo3 0.1446453 1.344035 -1.2077866 1.7540372
#>
#>
#>
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.008006713 0.001075222 0.007166562 0.009438778
#>
#> $ARE$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.01405668 0.002712948 -0.01733118 -0.01114424
#> Sigma[2,2] 0.07422787 0.018453332 0.05482486 0.09694059
#>
#> $ARE$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.01446575 0.00370125 0.01081610 0.01897964
#> Sigma[3,2] -0.06698413 0.01802788 -0.09126308 -0.05211083
#> Sigma[3,3] 0.16271248 0.03289983 0.13285631 0.20530783
#>
#> $ARE$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.002878832 0.002840658 0.001209098 0.006723946
#> Sigma[4,2] -0.008371153 0.005925423 -0.016279419 -0.003110708
#> Sigma[4,3] 0.113253941 0.026217716 0.086078343 0.141328240
#> Sigma[4,4] 0.110698672 0.024914536 0.085978610 0.140659711
#>
#>
#> $ARE$A
#> $ARE$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.54719220 0.03922527 0.4961462 5.830390e-01
#> lag1_var2 -0.09731108 0.10165145 -0.2250315 4.126214e-06
#> lag1_var3 -0.39419675 0.13020654 -0.5496405 -2.504337e-01
#> lag1_var4 0.49975892 0.12872710 0.3510214 6.453392e-01
#> const 3.37099603 0.73290826 2.6865517 4.284593e+00
#> exo1 -0.15415165 0.06316288 -0.2302740 -8.373160e-02
#> exo2 -0.19135432 0.10471470 -0.3287303 -9.842884e-02
#> exo3 -0.52040148 0.17931034 -0.7138871 -3.311986e-01
#>
#> $ARE$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.70227597 0.1561361 0.54530790 0.8638476
#> lag1_var2 0.43049158 0.7241349 -0.25034604 1.3755875
#> lag1_var3 -0.11927446 0.9198232 -1.00137018 1.0658657
#> lag1_var4 -0.08248108 0.9050242 -1.24581935 0.8064890
#> const -1.85538019 1.0439151 -3.00768775 -0.7605070
#> exo1 0.26832339 0.1549479 0.05496396 0.3728936
#> exo2 2.21181680 0.2944986 1.88400989 2.5640459
#> exo3 -0.04310080 0.2209698 -0.25831441 0.1897489
#>
#> $ARE$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.1355042 0.3502522 -0.59034473 0.1906565
#> lag1_var2 1.0345763 1.0627565 -0.40882051 1.8542422
#> lag1_var3 1.8878473 1.4923044 -0.09066198 3.2571686
#> lag1_var4 -0.7685564 1.4847908 -2.17529981 1.1735764
#> const -6.2248843 1.6930218 -8.16381328 -4.2805972
#> exo1 -0.6150675 0.2426734 -0.86054237 -0.3347867
#> exo2 -2.6160375 0.2651906 -2.93023762 -2.3733897
#> exo3 -1.6597857 0.8866492 -2.58470491 -0.6979405
#>
#> $ARE$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.4525611 0.2894070 0.06883672 0.69065148
#> lag1_var2 0.9455538 0.5746254 0.15838219 1.35992723
#> lag1_var3 1.2842589 0.8659445 0.15536935 2.10502780
#> lag1_var4 -0.3218738 0.8474254 -1.12433238 0.79164351
#> const -8.7161644 2.4538756 -11.95261469 -6.62822972
#> exo1 -0.3981649 0.2673110 -0.66537767 -0.05423267
#> exo2 -0.8754942 0.2919638 -1.27066756 -0.65795493
#> exo3 -1.6738418 0.7437716 -2.41503386 -0.85226940
#>
#>
#>
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.004040003 0.001995452 0.001890246 0.006277895
#>
#> $ARG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.1005412 0.05813542 -0.1693003 -0.04297943
#> Sigma[2,2] 4.7065426 1.91306802 2.5431121 6.60960318
#>
#> $ARG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.06874628 0.03542964 0.02856218 0.1072828
#> Sigma[3,2] -3.02859447 1.34566332 -4.36035908 -1.4428496
#> Sigma[3,3] 2.28600567 0.84497846 1.24669136 3.1959523
#>
#> $ARG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.008872702 0.006757764 0.0007963885 0.01416502
#> Sigma[4,2] -0.188641839 0.502579371 -0.6466383722 0.46898018
#> Sigma[4,3] 0.495160372 0.234235534 0.2525038092 0.75696637
#> Sigma[4,4] 0.423189957 0.197395917 0.2775751850 0.68971601
#>
#>
#> $ARG$A
#> $ARG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.93446887 0.03052685 0.899407047 0.96625771
#> lag1_var2 0.13653505 0.10497669 0.007840467 0.22637607
#> lag1_var3 0.21721827 0.16710238 0.013300176 0.35144870
#> lag1_var4 -0.20501112 0.15243667 -0.334940222 -0.01767761
#> const 0.99805335 1.20604790 -0.383390868 2.39896046
#> exo1 0.05620785 0.10444201 -0.033298545 0.19435746
#> exo2 -0.13236489 0.04630903 -0.181184741 -0.08372834
#> exo3 -0.01721234 0.10813589 -0.133438016 0.10711737
#>
#> $ARG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -1.343672 1.575150 -3.049144709 0.4579622
#> lag1_var2 -1.635675 4.064375 -6.973758414 1.5926258
#> lag1_var3 -3.477039 6.617685 -11.996432487 1.9672029
#> lag1_var4 4.025590 5.898722 -0.576546619 11.8203050
#> const 8.218783 51.744407 -49.399114876 70.2521521
#> exo1 -1.646230 3.246915 -5.753026041 1.5935514
#> exo2 1.885639 2.136025 -0.649701072 4.2932698
#> exo3 2.685759 3.151416 0.007593158 6.9048460
#>
#> $ARG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.12025611 0.6019306 0.3992259 1.719953
#> lag1_var2 1.36289912 3.2116107 -1.2119955 5.734172
#> lag1_var3 2.65140169 5.0822892 -1.3534759 9.577403
#> lag1_var4 -2.21912209 4.6818105 -8.5784676 1.578446
#> const 0.64100479 40.1123874 -50.5064307 41.310000
#> exo1 0.06928127 2.0480723 -2.1836859 2.505282
#> exo2 -4.55888376 0.6214356 -5.2396838 -3.892883
#> exo3 1.06040036 1.7105994 -1.2589960 2.364696
#>
#> $ARG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.27903748 0.7911610 -0.3058657 1.3593969
#> lag1_var2 -0.01196834 2.2420502 -2.8502784 1.9107621
#> lag1_var3 -0.09697838 3.7045414 -4.7936276 3.0566589
#> lag1_var4 0.86960282 3.2366440 -1.9056763 4.9388488
#> const 5.82549996 11.3838505 -8.4912708 15.1614079
#> exo1 -1.00976635 0.4242919 -1.3543483 -0.4353853
#> exo2 -3.90571478 0.9855937 -5.0277164 -2.7509778
#> exo3 3.00698385 0.5531554 2.3121989 3.5796176
#>
#>
#>