Provides posterior estimation summary for Bayesian Vector Autoregressions for dynamic panel data
Source:R/summary.R
summary.PosteriorBVARs.RdProvides posterior mean, standard deviations, as well as 5 and 95
percentiles of the parameters for all C countries.
Usage
# S3 method for class 'PosteriorBVARs'
summary(object, ...)Arguments
- object
an object of class
PosteriorBVARsobtained 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] 0.004292359 0.001373957 0.002503307 0.005579051
#>
#> $AFG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.01308264 0.004202147 -0.01777946 -0.00803812
#> Sigma[2,2] 0.23490204 0.020585426 0.21114152 0.25304559
#>
#> $AFG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.01398899 0.007533275 0.006326656 0.02325997
#> Sigma[3,2] -0.21460194 0.047000118 -0.262866332 -0.15870082
#> Sigma[3,3] 0.34116587 0.105098543 0.211465841 0.43639097
#>
#> $AFG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.009529448 0.007974917 0.0004460037 0.01806362
#> Sigma[4,2] -0.127347664 0.049369630 -0.1761050737 -0.07063630
#> Sigma[4,3] 0.283642828 0.098683928 0.1636336692 0.37726576
#> Sigma[4,4] 0.262958797 0.089846885 0.1545455028 0.35330882
#>
#>
#> $AFG$A
#> $AFG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.973143176 0.01473969 0.95858841 0.99205587
#> lag1_var2 0.016380279 0.08288278 -0.06946108 0.11031798
#> lag1_var3 0.032300321 0.16084275 -0.13994235 0.20007480
#> lag1_var4 -0.022004373 0.13405310 -0.15262100 0.12505448
#> const 0.192348715 1.24469407 -1.37417988 1.47646102
#> exo1 0.006297902 0.07335472 -0.04400666 0.10731486
#> exo2 -0.060423727 0.08951989 -0.14923336 0.03408077
#> exo3 -0.195241035 0.05232590 -0.26512538 -0.15251128
#>
#> $AFG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.3486666 0.1599077 0.1621882 0.48639355
#> lag1_var2 -0.3662674 0.3401333 -0.7877811 -0.03073874
#> lag1_var3 -2.9679568 0.6580726 -3.6281683 -2.24540387
#> lag1_var4 2.6168689 0.5651959 1.9873481 3.11304001
#> const 8.4287897 5.6299383 2.8735975 15.59586362
#> exo1 -0.4583773 0.2350246 -0.6838495 -0.17348683
#> exo2 0.2588925 0.4372404 -0.1234194 0.76323223
#> exo3 -0.3153179 0.6276918 -0.8891090 0.44219543
#>
#> $AFG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.1636689 0.1507362 -0.3252276 0.003838927
#> lag1_var2 2.5014441 0.7346119 1.6859227 3.158362077
#> lag1_var3 7.1356392 1.6865776 5.2650754 8.414948223
#> lag1_var4 -5.4790607 1.4921754 -6.6828443 -3.827477360
#> const -24.1494488 9.8500325 -34.2730978 -11.942388345
#> exo1 0.5282768 0.2535009 0.2094712 0.770053302
#> exo2 -1.1381634 0.5984031 -1.7441929 -0.426761458
#> exo3 0.4147273 0.6947468 -0.5296192 0.890649875
#>
#> $AFG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.01814794 0.1059039 -0.1395301 0.1040558
#> lag1_var2 2.71701995 0.6870482 1.9408659 3.3031461
#> lag1_var3 6.66939466 1.6039819 4.8821156 7.9029976
#> lag1_var4 -4.93218635 1.4223491 -6.0945051 -3.3512841
#> const -30.91698091 8.8710436 -38.8486168 -19.8091351
#> exo1 0.41297726 0.2137939 0.1432945 0.6129890
#> exo2 -1.05435044 0.5321840 -1.4981246 -0.3449430
#> exo3 0.41290008 0.5045626 -0.2748603 0.7784155
#>
#>
#>
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.005628716 0.001437464 0.004007689 0.00735055
#>
#> $AGO$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.01079573 0.003987516 -0.01514209 -0.005955522
#> Sigma[2,2] 0.13488611 0.039595863 0.09099058 0.178942882
#>
#> $AGO$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.006737895 0.001935647 0.004369807 0.008787686
#> Sigma[3,2] -0.053915183 0.014568286 -0.071200858 -0.039583443
#> Sigma[3,3] 0.032840610 0.004347267 0.028372242 0.038307994
#>
#> $AGO$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.001211726 0.001504421 -0.002941276 0.0004958697
#> Sigma[4,2] 0.057143457 0.018383490 0.035167629 0.0755254980
#> Sigma[4,3] -0.009776370 0.008188020 -0.018359206 -0.0002514828
#> Sigma[4,4] 0.040813523 0.007644581 0.032641281 0.0499417405
#>
#>
#> $AGO$A
#> $AGO$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.97366443 0.017221754 0.95126363 0.98910529
#> lag1_var2 0.09002530 0.016377673 0.06791868 0.09858972
#> lag1_var3 0.14752926 0.009534523 0.13665518 0.15536923
#> lag1_var4 -0.12301000 0.005227958 -0.13007767 -0.11910834
#> const -0.81724161 0.988822639 -1.65489762 0.49944969
#> exo1 0.02232237 0.084733486 -0.08280014 0.11309204
#> exo2 -0.10978687 0.065804352 -0.16886922 -0.02207207
#> exo3 -0.04169938 0.044394601 -0.07826699 0.01401325
#>
#> $AGO$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.06069917 0.10353296 -0.04735358 0.19062432
#> lag1_var2 0.81832516 0.12220847 0.67653671 0.94145796
#> lag1_var3 -0.18022352 0.10541813 -0.29749740 -0.07345946
#> lag1_var4 0.23283664 0.02781193 0.20844442 0.26881031
#> const -4.88347313 8.05049874 -15.07966193 2.68033102
#> exo1 0.23057973 0.48617278 -0.32558140 0.76041485
#> exo2 0.45392830 0.51649135 -0.15612828 1.04702853
#> exo3 -0.86182833 0.58503522 -1.55023765 -0.18698665
#>
#> $AGO$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.20360070 0.06662676 -0.2696111 -0.1219259
#> lag1_var2 0.29326756 0.05002258 0.2440462 0.3508806
#> lag1_var3 1.40709826 0.07830152 1.3027642 1.4775964
#> lag1_var4 -0.35026428 0.03093240 -0.3775631 -0.3096869
#> const 0.90939506 2.66745623 -2.0751383 4.0982878
#> exo1 -0.07792331 0.26255998 -0.3609261 0.2408991
#> exo2 -1.41559470 0.13361490 -1.5892340 -1.2861473
#> exo3 3.31142586 0.33927139 2.8752185 3.6204150
#>
#> $AGO$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.2568696 0.04965717 -0.3232427 -0.2156308
#> lag1_var2 1.0272321 0.07274325 0.9734207 1.1247826
#> lag1_var3 1.4191013 0.07335243 1.3606726 1.5088380
#> lag1_var4 -0.1851540 0.02509516 -0.2149803 -0.1578894
#> const -10.7229529 5.12190232 -16.8292873 -5.8273107
#> exo1 0.1377473 0.22144973 -0.1168717 0.3873258
#> exo2 -1.3920549 0.29045491 -1.7535163 -1.0815515
#> exo3 2.9961895 0.21037979 2.7217478 3.1912530
#>
#>
#>
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.002062675 0.0006369135 0.001342727 0.002679493
#>
#> $ALB$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.05958253 0.02253502 -0.08903527 -0.03810324
#> Sigma[2,2] 9.51410982 2.01414074 7.55219526 11.88982026
#>
#> $ALB$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.0207209 0.0328221 -0.01726418 0.05807564
#> Sigma[3,2] -6.6201269 1.4990239 -8.31188014 -5.39120597
#> Sigma[3,3] 7.0023744 1.0155244 5.60481538 7.64760923
#>
#> $ALB$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.02255356 0.03056621 -0.06315705 0.00353536
#> Sigma[4,2] -0.19688819 0.67987626 -0.94654269 0.51840817
#> Sigma[4,3] 2.97353257 1.22985396 1.89287437 4.50161345
#> Sigma[4,4] 3.38085250 1.50682773 2.21074449 5.42044423
#>
#>
#> $ALB$A
#> $ALB$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.01566106 0.01480003 0.99777802 1.03127020
#> lag1_var2 -0.01233531 0.02549934 -0.03273937 0.02202481
#> lag1_var3 -0.03022638 0.04030682 -0.06350768 0.02352681
#> lag1_var4 0.02509309 0.03331266 -0.01887197 0.05584899
#> const -0.09450091 0.78013409 -1.13139814 0.56780042
#> exo1 -0.01630808 0.06234974 -0.06929218 0.06725259
#> exo2 -0.12767478 0.04696215 -0.18230216 -0.07626938
#> exo3 0.08164287 0.02598811 0.06140545 0.11684057
#>
#> $ALB$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -3.3178529 1.625423 -5.2371621 -1.710208
#> lag1_var2 4.7448462 1.498193 3.2812667 6.538771
#> lag1_var3 6.8442925 2.050664 4.7822067 9.224595
#> lag1_var4 -5.6347050 1.717379 -7.6426739 -3.921361
#> const 9.1482960 53.717649 -45.3474970 74.328659
#> exo1 0.9365588 2.711280 -1.2200847 4.567375
#> exo2 0.6649933 1.412055 -0.7751289 2.449873
#> exo3 1.2604281 3.681397 -3.3125751 5.146944
#>
#> $ALB$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.4764891 2.134080 -0.9695362 3.9825174
#> lag1_var2 -3.5153248 1.364242 -4.8890055 -2.0603004
#> lag1_var3 -4.8807222 2.181113 -7.2291462 -2.5787426
#> lag1_var4 4.7750218 1.845404 2.7402010 6.7048358
#> const 32.0277777 56.657880 -44.8959391 76.4013478
#> exo1 -1.5330294 1.825433 -3.9028177 0.2193964
#> exo2 -0.5342848 2.099522 -3.1871364 1.5897042
#> exo3 -1.1518556 3.524254 -4.9164185 2.8323882
#>
#> $ALB$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.79504613 1.6628461 -2.8356217 0.898236504
#> lag1_var2 -0.85535970 1.0865509 -2.3199257 -0.005116276
#> lag1_var3 -1.01247963 1.7261112 -3.2808857 0.503347557
#> lag1_var4 1.75438543 1.4563406 0.4799347 3.620985689
#> const 37.30537662 50.4028771 -13.1080847 90.855818700
#> exo1 -0.56721923 0.7252035 -1.3880576 0.239482087
#> exo2 -0.06776364 1.6992247 -1.8107305 2.077906999
#> exo3 -0.15340104 2.0103712 -1.5490153 2.593498957
#>
#>
#>
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.001246098 0.0003057785 0.0009462577 0.001620991
#>
#> $ARE$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.002953349 0.0005780359 -0.003552575 -0.002224978
#> Sigma[2,2] 0.053846596 0.0166455382 0.033696775 0.072419389
#>
#> $ARE$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.004851701 0.001807486 0.002779513 0.006974994
#> Sigma[3,2] -0.051472644 0.008479280 -0.060971118 -0.042066962
#> Sigma[3,3] 0.161105003 0.011972312 0.150171356 0.176126726
#>
#> $ARE$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.002579415 0.001948232 0.0001360748 0.004538243
#> Sigma[4,2] -0.009063580 0.011391964 -0.0198626265 0.004840455
#> Sigma[4,3] 0.123814594 0.013814336 0.1084603225 0.138528253
#> Sigma[4,4] 0.121135239 0.014714630 0.1044085013 0.137981819
#>
#>
#> $ARE$A
#> $ARE$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.97242766 0.02413807 0.94190646 0.997097215
#> lag1_var2 0.20441216 0.05011917 0.14510949 0.258218674
#> lag1_var3 0.25291012 0.06416733 0.17901865 0.314712282
#> lag1_var4 -0.24813436 0.06102889 -0.30784875 -0.177566266
#> const 0.38181119 0.42380464 -0.19324740 0.726034689
#> exo1 -0.04921339 0.02595036 -0.07833543 -0.026175032
#> exo2 -0.08145554 0.05829344 -0.14426103 -0.014921391
#> exo3 -0.01739309 0.02208953 -0.03876924 0.009758402
#>
#> $ARE$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.04106760 0.1492594 -0.24069660 0.08082119
#> lag1_var2 0.31894033 0.2896226 -0.01088275 0.65213247
#> lag1_var3 -0.63872101 0.3216065 -1.00010087 -0.37451546
#> lag1_var4 0.62644476 0.3224995 0.35598949 1.00972600
#> const 2.47499441 2.0340863 0.81345958 5.14002800
#> exo1 0.03720672 0.1768207 -0.15688174 0.25043701
#> exo2 1.99582733 0.1328275 1.85414184 2.16061281
#> exo3 -0.60074326 0.2890506 -0.84009261 -0.24761470
#>
#> $ARE$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.8263957 0.2875585 0.4785327 1.1434265
#> lag1_var2 2.4354094 1.0075741 1.1076428 3.2665704
#> lag1_var3 4.0629095 1.1991212 2.4941504 5.1350910
#> lag1_var4 -3.2061227 1.1559775 -4.2934552 -1.7237244
#> const -10.8007319 2.3799227 -13.7395904 -8.5884239
#> exo1 -0.3200367 0.5598164 -0.9830918 0.1145947
#> exo2 -2.0540150 0.2361052 -2.3295783 -1.8221280
#> exo3 -1.1078389 0.4757225 -1.6431069 -0.6310853
#>
#> $ARE$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.8356224 0.2797515 0.5406763 1.18182821
#> lag1_var2 2.7883242 0.9339646 1.5057834 3.44126482
#> lag1_var3 3.7369719 0.9854983 2.3984002 4.50375335
#> lag1_var4 -2.8644854 0.9461479 -3.6297327 -1.58704300
#> const -11.8557015 3.0420525 -15.4931912 -8.59950419
#> exo1 -0.3218594 0.4623835 -0.8413476 0.07366993
#> exo2 -0.5017686 0.1460376 -0.6455366 -0.33140687
#> exo3 -1.5868291 0.6046719 -2.2062012 -0.82191954
#>
#>
#>
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.002761193 0.0007228106 0.002037752 0.003625954
#>
#> $ARG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.05948782 0.01701808 -0.07527668 -0.03738085
#> Sigma[2,2] 3.66175149 0.29554723 3.33248063 3.94139135
#>
#> $ARG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.04428645 0.01156434 0.02885941 0.05443809
#> Sigma[3,2] -2.71779277 0.34164781 -3.02529568 -2.32317695
#> Sigma[3,3] 2.28645763 0.38277404 1.85658961 2.68483450
#>
#> $ARG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.009096443 0.006167985 0.003092329 0.0170784
#> Sigma[4,2] -0.530158699 0.202421347 -0.736814363 -0.3114643
#> Sigma[4,3] 0.694743002 0.215147370 0.482520421 0.9671215
#> Sigma[4,4] 0.415230415 0.119076381 0.323873939 0.5761006
#>
#>
#> $ARG$A
#> $ARG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.87817673 0.04649099 0.8294015429 0.92910676
#> lag1_var2 0.28406866 0.16262362 0.0694125329 0.40344166
#> lag1_var3 0.46645800 0.26830895 0.1130831368 0.66410981
#> lag1_var4 -0.42878393 0.24146897 -0.6025654621 -0.10724676
#> const 1.01216657 1.26200109 -0.6724624768 2.12426714
#> exo1 0.04466003 0.05018833 -0.0003728524 0.10670866
#> exo2 -0.11466337 0.08064371 -0.1852105105 -0.02121535
#> exo3 -0.01493055 0.08308216 -0.1192851755 0.07232555
#>
#> $ARG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.03244088 1.469586 -0.8914796 2.054886673
#> lag1_var2 -1.88853815 3.832471 -7.0958071 0.007744608
#> lag1_var3 -4.24786416 6.210799 -12.6535478 -1.231206893
#> lag1_var4 4.41731575 6.242366 1.3181414 12.870813699
#> const -8.39585175 42.473659 -64.9444965 28.064228497
#> exo1 -0.30658007 1.515678 -2.1509669 1.373269114
#> exo2 1.41843883 2.653184 -1.2243191 4.788246729
#> exo3 1.93330870 2.981258 -1.5054618 5.296111559
#>
#> $ARG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.1937991 1.350621 -2.0325307 0.7921849
#> lag1_var2 1.3669637 3.297828 -1.0140509 5.8050372
#> lag1_var3 2.9196870 5.342227 -0.9177699 10.1078432
#> lag1_var4 -2.2739281 5.345492 -9.4860827 1.2709194
#> const 25.0315212 43.300528 -9.0996732 82.6640935
#> exo1 -0.5588434 1.447147 -2.1520302 1.0371570
#> exo2 -4.6037347 1.827560 -7.0370831 -3.0385396
#> exo3 1.4612938 2.718010 -1.8712260 4.0260165
#>
#> $ARG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.1983644 0.5470355 -0.9184793 0.3018329
#> lag1_var2 0.1592744 1.2392474 -1.3364033 1.5407048
#> lag1_var3 0.2327051 2.0055343 -2.1981752 2.4568100
#> lag1_var4 0.5886345 1.9097202 -1.6820430 2.7575305
#> const 16.1542187 25.1652753 -6.4523175 43.6534707
#> exo1 -0.8127911 0.7449533 -1.4877555 0.1271927
#> exo2 -4.2244215 0.7281518 -4.9569981 -3.4577459
#> exo3 2.9758157 1.2436144 1.4195638 4.2931548
#>
#>
#>