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] 0.003996409 0.0008618734 0.003339288 0.005121461
#>
#> $AFG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.009118261 0.00337599 -0.0129125 -0.005276941
#> Sigma[2,2] 0.219472813 0.04092031 0.1805238 0.271379537
#>
#> $AFG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.01113873 0.003276636 0.008397572 0.01549838
#> Sigma[3,2] -0.20623023 0.045476057 -0.266888973 -0.16633445
#> Sigma[3,3] 0.37473680 0.089204255 0.273550066 0.48116362
#>
#> $AFG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.00793448 0.002755485 0.005132438 0.01130909
#> Sigma[4,2] -0.12410240 0.030647015 -0.162557368 -0.09238493
#> Sigma[4,3] 0.32185312 0.099280931 0.225082158 0.44841350
#> Sigma[4,4] 0.30405168 0.110177830 0.204584531 0.44873394
#>
#>
#> $AFG$A
#> $AFG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.982870090 0.01876468 0.9628343 1.00416583
#> lag1_var2 -0.109554343 0.01209174 -0.1208295 -0.09499391
#> lag1_var3 -0.207270636 0.02136116 -0.2354561 -0.18780886
#> lag1_var4 0.176247076 0.02008836 0.1560151 0.20022718
#> const 2.006759863 0.33348521 1.7158439 2.44348649
#> exo1 0.004511079 0.07259758 -0.0821008 0.08322325
#> exo2 -0.057232579 0.05061714 -0.1251683 -0.01625680
#> exo3 -0.214352536 0.09249483 -0.3038308 -0.10252508
#>
#> $AFG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.242353210 0.1972688 0.02766610 0.48254031
#> lag1_var2 1.101930248 0.1461399 0.95479653 1.28055822
#> lag1_var3 0.092374121 0.2200697 -0.06336219 0.39473942
#> lag1_var4 -0.060591561 0.1815694 -0.30545904 0.06672939
#> const -7.393739989 2.8614310 -10.97388729 -4.38056662
#> exo1 -0.284335685 0.1551965 -0.48527784 -0.14279689
#> exo2 -0.014857937 0.7370309 -0.92642965 0.72569272
#> exo3 0.003315297 0.7580720 -0.91329168 0.84108319
#>
#> $AFG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.09467874 0.1963903 -0.2959466 0.14717895
#> lag1_var2 -0.28068128 0.1387823 -0.4553449 -0.14602416
#> lag1_var3 1.17149019 0.2130050 0.8777474 1.31495911
#> lag1_var4 -0.29619329 0.1514166 -0.4282432 -0.09808781
#> const 10.81707412 4.6297022 5.2501095 15.35471408
#> exo1 -0.06417991 0.5047917 -0.7420143 0.37389943
#> exo2 -1.24710735 0.7973218 -2.1348593 -0.33605673
#> exo3 -0.22780066 0.9308489 -0.9820863 1.01171997
#>
#> $AFG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.01907044 0.15988881 -0.1362379 0.2262833
#> lag1_var2 0.28117535 0.09047142 0.1634605 0.3687753
#> lag1_var3 1.41359796 0.14258786 1.2213780 1.5318570
#> lag1_var4 -0.37555658 0.08530649 -0.4630801 -0.2689166
#> const 0.80352454 4.63071564 -4.6940195 6.0797690
#> exo1 -0.21349690 0.55561181 -0.9703207 0.2164756
#> exo2 -1.32802590 0.54675824 -1.9885993 -0.7620790
#> exo3 -0.14263749 0.70717873 -0.8278534 0.7749860
#>
#>
#>
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.005565439 0.001622835 0.004308801 0.007772082
#>
#> $AGO$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.00953617 0.003335653 -0.01296448 -0.005346839
#> Sigma[2,2] 0.11594677 0.031503087 0.09143458 0.158216075
#>
#> $AGO$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.006954133 0.002222825 0.00449836 0.00965445
#> Sigma[3,2] -0.049598897 0.014560430 -0.06702335 -0.03562628
#> Sigma[3,3] 0.035257031 0.009120290 0.02543258 0.04571242
#>
#> $AGO$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.0007137876 0.0006409753 -0.000119565 0.001275287
#> Sigma[4,2] 0.0440791398 0.0118938282 0.034387507 0.060092838
#> Sigma[4,3] -0.0033287512 0.0047585230 -0.008198521 0.002136447
#> Sigma[4,4] 0.0357829331 0.0064915184 0.030281410 0.044445421
#>
#>
#> $AGO$A
#> $AGO$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.93555264 0.020504730 0.91114273 0.9588709989
#> lag1_var2 0.23814115 0.021853159 0.21133299 0.2599815375
#> lag1_var3 0.35682623 0.024602111 0.32942610 0.3822506531
#> lag1_var4 -0.32125988 0.008078789 -0.32961598 -0.3116383305
#> const -0.51559155 1.246708738 -1.80568680 0.8982830299
#> exo1 0.06283336 0.023366064 0.04023054 0.0915372953
#> exo2 -0.09083266 0.072223679 -0.16656628 -0.0003401139
#> exo3 -0.08429708 0.073677343 -0.16889105 -0.0051757759
#>
#> $AGO$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.002125636 0.05360052 -0.05183139 0.06464085
#> lag1_var2 0.855601812 0.11130613 0.74337572 0.98498863
#> lag1_var3 -0.186846072 0.13225887 -0.34865492 -0.04471359
#> lag1_var4 0.254138258 0.05047019 0.18949972 0.30371438
#> const -5.164243144 6.64196316 -10.05350288 3.89806217
#> exo1 0.164053396 0.17361917 0.02203497 0.39458474
#> exo2 0.480062125 0.41391044 -0.02909700 0.92946412
#> exo3 -0.276137494 0.55301083 -0.90339314 0.36987234
#>
#> $AGO$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.1897484998 0.03578222 -0.21574849 -0.141125544
#> lag1_var2 0.0004120799 0.06039031 -0.08045898 0.051583548
#> lag1_var3 1.0349573699 0.07979459 0.97932694 1.144901331
#> lag1_var4 -0.0698434214 0.02919664 -0.09845168 -0.033856535
#> const 7.7305960026 4.08634328 2.24791810 11.178219611
#> exo1 -0.0364695357 0.03302954 -0.06131304 0.008194842
#> exo2 -1.5099502197 0.24913434 -1.70817761 -1.180225916
#> exo3 3.1113703871 0.21581149 2.84404437 3.340962353
#>
#> $AGO$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.3216212 0.03318797 -0.35849279 -0.2828884
#> lag1_var2 0.6937422 0.05632541 0.63603512 0.7586092
#> lag1_var3 0.9555741 0.07938347 0.87635080 1.0420810
#> lag1_var4 0.1756099 0.04954283 0.12880485 0.2308687
#> const -1.6117946 2.93462464 -5.32356316 1.3509584
#> exo1 0.1606533 0.15224809 0.04750193 0.3670873
#> exo2 -1.4387418 0.23876680 -1.73853776 -1.2145313
#> exo3 3.2795180 0.28327758 2.94591255 3.5954732
#>
#>
#>
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.002831149 0.0007674082 0.002063502 0.003681707
#>
#> $ALB$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.07948064 0.02732312 -0.1165271 -0.05883382
#> Sigma[2,2] 8.49749926 3.08935118 5.4530892 12.10795989
#>
#> $ALB$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.0360863 0.03186932 0.009385843 0.07687263
#> Sigma[3,2] -6.3480057 3.70182616 -11.040489991 -2.95938402
#> Sigma[3,3] 7.0744948 4.22732922 3.784519853 12.76523562
#>
#> $ALB$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.02192598 0.01864748 -0.03682113 -0.0006399011
#> Sigma[4,2] -0.76144194 2.05946000 -3.54146639 0.8790757828
#> Sigma[4,3] 3.39163598 2.36574110 1.95785736 6.6421132056
#> Sigma[4,4] 3.50170047 1.49501300 1.99347298 5.4074518207
#>
#>
#> $ALB$A
#> $ALB$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.97634809 0.01547082 0.960005151 0.994579098
#> lag1_var2 -0.04171969 0.05311903 -0.113051054 0.001908386
#> lag1_var3 -0.07350367 0.08481306 -0.188339154 -0.005735343
#> lag1_var4 0.06170291 0.07125992 0.003589197 0.157811394
#> const 1.24590226 1.04264032 0.609746217 2.671352219
#> exo1 0.01126538 0.05384301 -0.047124237 0.063975273
#> exo2 -0.06987333 0.04649490 -0.125952828 -0.028550745
#> exo3 0.04209321 0.09331417 -0.063265495 0.125613509
#>
#> $ALB$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -3.5066326 1.317794 -4.343581 -1.703685
#> lag1_var2 4.1483127 1.410007 2.638643 5.900953
#> lag1_var3 6.1367766 2.228321 3.701494 8.809056
#> lag1_var4 -5.0703389 1.848516 -7.372818 -3.119288
#> const 24.7113749 40.135055 -26.656538 63.485804
#> exo1 -0.7760463 2.387814 -3.840548 1.579692
#> exo2 -0.5279577 5.029101 -6.768041 4.763924
#> exo3 -1.5024587 2.226624 -3.569855 1.409871
#>
#> $ALB$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.91285346 1.638889 -0.09656674 3.615992
#> lag1_var2 -3.01503319 1.540677 -4.62689807 -1.098602
#> lag1_var3 -4.44084815 2.484386 -6.98860046 -1.281371
#> lag1_var4 4.35691856 1.953111 1.93330683 6.460385
#> const 17.15167924 54.872711 -40.26457352 79.287167
#> exo1 -0.61598251 1.833479 -2.21414169 1.837122
#> exo2 0.05064461 5.141201 -5.39756391 6.070862
#> exo3 0.89645352 1.272566 -0.73341348 2.175431
#>
#> $ALB$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.51183907 1.360693 -2.099184 0.9948385
#> lag1_var2 -0.67392293 1.788759 -2.478225 1.4716741
#> lag1_var3 -0.94663389 2.890305 -4.037692 2.4564316
#> lag1_var4 1.61456834 2.299925 -1.105064 4.0971106
#> const 33.14013165 50.860382 -18.489444 93.2261185
#> exo1 -0.79674371 1.233445 -2.207985 0.3348587
#> exo2 -0.13233720 2.982477 -3.745351 2.8886469
#> exo3 -0.08732292 1.526683 -2.085038 1.2335503
#>
#>
#>
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.001602727 0.0001679733 0.001391785 0.00174881
#>
#> $ARE$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.002358857 0.001638112 -0.004023372 -0.0005969633
#> Sigma[2,2] 0.062054843 0.012080174 0.045938242 0.0719550055
#>
#> $ARE$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.00443425 0.002097124 0.002019103 0.006037641
#> Sigma[3,2] -0.06428519 0.027397557 -0.097336794 -0.035203538
#> Sigma[3,3] 0.20455711 0.075242662 0.114808097 0.281348372
#>
#> $ARE$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.002469791 0.0009399583 0.001454004 0.003430137
#> Sigma[4,2] -0.016793787 0.0257782163 -0.048143063 0.009885120
#> Sigma[4,3] 0.158440119 0.0587059487 0.088594052 0.217042081
#> Sigma[4,4] 0.149350752 0.0475732458 0.098247453 0.206559083
#>
#>
#> $ARE$A
#> $ARE$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.92452743 0.03980252 0.88040966 0.97246263
#> lag1_var2 -0.07649109 0.05372864 -0.13423054 -0.01230466
#> lag1_var3 -0.13753506 0.04915641 -0.18494383 -0.07641965
#> lag1_var4 0.14210396 0.05334105 0.08638602 0.20068515
#> const 1.60851781 0.62865795 0.83473697 2.24133457
#> exo1 -0.01245865 0.04081787 -0.05666493 0.03303180
#> exo2 -0.06800516 0.08025503 -0.15132195 0.03292681
#> exo3 -0.04532068 0.06246626 -0.11871100 0.02630000
#>
#> $ARE$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.03707595 0.2183411 -0.23944479 0.2079648
#> lag1_var2 0.49894076 0.3938692 -0.01400890 0.8288306
#> lag1_var3 -0.34023461 0.5072560 -0.95514580 0.1005195
#> lag1_var4 0.29805284 0.5160262 -0.19045791 0.8989749
#> const 2.76977824 3.2220665 -1.20751996 6.0517196
#> exo1 0.17360966 0.1840031 0.02744925 0.4181592
#> exo2 2.21657380 0.2002736 1.96086989 2.3943309
#> exo3 -0.78421730 0.6003921 -1.60013609 -0.3168247
#>
#> $ARE$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.20677444 0.3554884 -0.1942836 0.6273487
#> lag1_var2 0.29274918 1.4431002 -1.2630410 1.6762039
#> lag1_var3 0.91729992 1.8545516 -0.9632272 2.8686219
#> lag1_var4 0.04603432 1.7724397 -1.7826532 1.8527147
#> const -3.19198179 5.9919809 -9.8905811 3.3956242
#> exo1 -0.63810988 0.1731160 -0.8086204 -0.4166628
#> exo2 -2.59693688 0.4966228 -2.9416025 -1.9235033
#> exo3 -1.36341077 0.2177206 -1.6267074 -1.1209622
#>
#> $ARE$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.2119821 0.4399219 -0.3837155 0.5773680
#> lag1_var2 0.7053724 1.2514813 -0.6520418 2.0301737
#> lag1_var3 0.6839070 1.5306660 -0.9316033 2.3226483
#> lag1_var4 0.2805764 1.4392325 -1.2079179 1.8374290
#> const -3.0401277 6.1717415 -9.9123552 1.7387419
#> exo1 -0.5211816 0.1947263 -0.7375706 -0.3200310
#> exo2 -0.9122346 0.6049606 -1.4470821 -0.1048747
#> exo3 -2.0178073 0.4738441 -2.6521328 -1.6225621
#>
#>
#>
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.002499635 0.0006821014 0.001931107 0.003419542
#>
#> $ARG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.0548564 0.02260723 -0.0828448 -0.03213147
#> Sigma[2,2] 3.1584921 1.27375085 1.8806795 4.78130274
#>
#> $ARG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.04083417 0.01740553 0.02177257 0.06083079
#> Sigma[3,2] -2.37207434 0.99696806 -3.63477275 -1.41840087
#> Sigma[3,3] 2.07376489 0.85321951 1.27231999 3.08333180
#>
#> $ARG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.008447119 0.005123763 0.002819425 0.01425047
#> Sigma[4,2] -0.502912725 0.270481636 -0.811037402 -0.25461096
#> Sigma[4,3] 0.703230079 0.307695487 0.411883092 1.07439115
#> Sigma[4,4] 0.444413878 0.175253889 0.292531810 0.67567766
#>
#>
#> $ARG$A
#> $ARG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.90468804 0.02890167 0.874560680 0.94097516
#> lag1_var2 -0.07311903 0.04981640 -0.128771112 -0.02001299
#> lag1_var3 -0.11979558 0.08140505 -0.213008218 -0.03325715
#> lag1_var4 0.10098805 0.07564350 0.022538694 0.18802970
#> const 3.72582732 0.70955218 3.021488403 4.62627113
#> exo1 0.01989993 0.05716043 -0.043191256 0.07973582
#> exo2 -0.10097535 0.04055188 -0.147931218 -0.05338464
#> exo3 0.04036227 0.02768915 0.004596326 0.06552722
#>
#> $ARG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -1.4120480 1.130796 -2.6636270 -0.09448593
#> lag1_var2 1.2599972 2.796119 -2.0153981 4.08297456
#> lag1_var3 0.8932079 4.632692 -4.5054011 5.52756009
#> lag1_var4 -0.1380364 4.042646 -4.1740097 4.52595172
#> const -5.0041667 44.483627 -56.9663734 44.49568684
#> exo1 -1.7661656 2.195733 -4.4299696 0.10807685
#> exo2 1.6987272 2.040174 -1.0301886 3.35279750
#> exo3 2.1457047 1.974991 -0.3818593 3.89260432
#>
#> $ARG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.3498402 0.7683849 -0.4378103 1.213939
#> lag1_var2 1.0660912 2.1535521 -1.2316911 3.542623
#> lag1_var3 2.4508210 3.5525142 -1.2741614 6.543712
#> lag1_var4 -1.9188911 3.1384913 -5.4490186 1.395803
#> const 17.3333488 33.6909724 -18.3411230 59.196398
#> exo1 0.3002546 1.3476120 -1.0331587 1.870299
#> exo2 -4.7753630 1.6287300 -5.8526091 -2.531784
#> exo3 1.3291437 1.2308241 0.4679770 3.024651
#>
#> $ARG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.6190532 0.2254034 -0.9282957 -0.4547138
#> lag1_var2 2.0295801 0.5169173 1.3877083 2.5528340
#> lag1_var3 3.3092395 0.8348356 2.3040937 4.1896309
#> lag1_var4 -2.2173149 0.7842322 -2.9960477 -1.2686661
#> const 11.1047918 10.2927137 2.5668602 24.7336708
#> exo1 -0.8694400 0.4899986 -1.2401323 -0.1992392
#> exo2 -4.2284356 0.7438854 -4.9829019 -3.3253463
#> exo3 2.8789474 0.9072381 1.8207214 3.9241950
#>
#>
#>