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] 0.007826464 0.001950701 0.00555913 0.009958457
#>
#> $AFG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.01140803 0.002421218 -0.01426395 -0.008717175
#> Sigma[2,2] 0.16631261 0.036356904 0.12105996 0.204172148
#>
#> $AFG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.02430236 0.007451906 0.01465927 0.03155862
#> Sigma[3,2] -0.15204413 0.013550582 -0.17012403 -0.14036133
#> Sigma[3,3] 0.30225402 0.076963315 0.21147880 0.39073943
#>
#> $AFG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.02242399 0.008143883 0.01178318 0.02976392
#> Sigma[4,2] -0.08976369 0.016497999 -0.10630333 -0.06910438
#> Sigma[4,3] 0.26865980 0.089039870 0.16677071 0.37270753
#> Sigma[4,4] 0.26343843 0.096082804 0.15563000 0.37632261
#>
#>
#> $AFG$A
#> $AFG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.967238725 0.02257450 0.94157002 0.98972661
#> lag1_var2 -0.369107358 0.08053591 -0.47207020 -0.29887062
#> lag1_var3 -0.796979583 0.18650584 -1.02906525 -0.63707006
#> lag1_var4 0.693725682 0.17057007 0.54749749 0.90468736
#> const 5.611844081 0.95055690 4.47391667 6.43015993
#> exo1 -0.003342895 0.07750909 -0.06386075 0.09172428
#> exo2 -0.111042057 0.09330013 -0.21926775 -0.01110276
#> exo3 -0.303621373 0.04743262 -0.34999982 -0.24285807
#>
#> $AFG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.382911722 0.1402741 0.1964507 0.5040156
#> lag1_var2 0.769366499 0.2655598 0.5077962 1.1115036
#> lag1_var3 -0.527292590 0.6385868 -1.1707503 0.2704308
#> lag1_var4 0.462459183 0.5832196 -0.2364857 1.0570820
#> const -5.763125253 4.1821506 -10.9191166 -1.2817200
#> exo1 0.007670718 0.3784591 -0.3763279 0.4455114
#> exo2 0.201656640 0.3344907 -0.1116624 0.6000666
#> exo3 -0.269196331 0.3633548 -0.5940573 0.1947002
#>
#> $AFG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.18308650 0.1791644 -0.3818228 -0.006863039
#> lag1_var2 0.16717337 0.3347492 -0.1690147 0.556111368
#> lag1_var3 2.21438760 0.6180796 1.4550043 2.852219384
#> lag1_var4 -1.23692149 0.5485142 -1.7766840 -0.526792668
#> const 8.36506002 8.9453908 3.0443055 20.756408650
#> exo1 -0.23845274 0.3521498 -0.6862472 0.081080226
#> exo2 -1.37279123 0.3690717 -1.8250564 -1.006569190
#> exo3 -0.07336904 0.3188360 -0.3754631 0.306275736
#>
#> $AFG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.01605104 0.1507892 -0.1896500 0.09547124
#> lag1_var2 0.60715763 0.3680061 0.1669233 1.00488822
#> lag1_var3 2.24393752 0.5579803 1.6881225 2.84773322
#> lag1_var4 -1.13927548 0.4341494 -1.6236469 -0.67115997
#> const -1.03684421 10.3677108 -7.9552300 12.98382135
#> exo1 -0.24645207 0.3632272 -0.6691136 0.12586257
#> exo2 -1.34681470 0.3281104 -1.7569854 -1.06683192
#> exo3 -0.08685275 0.2971352 -0.3886441 0.26326169
#>
#>
#>
#> $AGO
#> $AGO$Sigma
#> $AGO$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.006933315 0.002568847 0.004433669 0.01026444
#>
#> $AGO$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.00238724 0.01006748 -0.01184456 0.009473294
#> Sigma[2,2] 0.17602090 0.07637130 0.08454170 0.255063317
#>
#> $AGO$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.004439884 0.004141618 -0.000659314 0.008823815
#> Sigma[3,2] -0.079544124 0.037720521 -0.118247500 -0.035727396
#> Sigma[3,3] 0.049979283 0.019058955 0.027108083 0.069169494
#>
#> $AGO$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.003299308 0.005205241 -0.0007235727 0.0090932935
#> Sigma[4,2] 0.069074092 0.028466042 0.0358187318 0.0968569272
#> Sigma[4,3] -0.015279278 0.013285441 -0.0280613581 -0.0004263831
#> Sigma[4,4] 0.047382908 0.013521264 0.0344045382 0.0627673802
#>
#>
#> $AGO$A
#> $AGO$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.95881338 0.03633792 0.91564512 0.995129261
#> lag1_var2 0.03440694 0.22484656 -0.20695905 0.272118173
#> lag1_var3 0.09151569 0.30904923 -0.24925591 0.420970932
#> lag1_var4 -0.07037937 0.27636473 -0.36930561 0.245791357
#> const 0.02425910 3.45505964 -4.22259930 3.745542668
#> exo1 -0.02760383 0.06628868 -0.07955450 0.062194591
#> exo2 -0.01755201 0.02558436 -0.05185088 0.002638484
#> exo3 -0.01317947 0.14383014 -0.18101344 0.146429873
#>
#> $AGO$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.2968434 0.1649613 -0.47160359 -0.09180873
#> lag1_var2 2.4931422 1.5217474 0.54774969 3.87004430
#> lag1_var3 2.2014479 2.1695918 -0.53494863 4.19697648
#> lag1_var4 -1.8378116 1.8599932 -3.56858305 0.52821847
#> const -17.4659626 19.1668881 -37.31651088 3.32701335
#> exo1 0.3057490 0.3552902 0.08931313 0.79339736
#> exo2 0.5868638 0.2605732 0.34767452 0.87075361
#> exo3 -0.2678946 0.5990674 -1.04861450 0.30290494
#>
#> $AGO$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.04117155 0.0883887 -0.1375914 0.06493116
#> lag1_var2 -1.26015505 0.5713726 -1.9241991 -0.68653841
#> lag1_var3 -0.79439375 0.8427902 -1.6743871 0.10313684
#> lag1_var4 1.49881488 0.7182289 0.7324711 2.26637772
#> const 21.73039172 7.5960773 14.6371440 30.38149248
#> exo1 -0.07020658 0.2503913 -0.3621541 0.21269456
#> exo2 -1.45777733 0.2073855 -1.7304425 -1.28546676
#> exo3 3.16549006 0.3027403 2.9267280 3.54568597
#>
#> $AGO$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.3663042 0.07217679 -0.43242148 -0.2754455
#> lag1_var2 0.4312194 0.87798492 -0.76875341 1.1057330
#> lag1_var3 0.6429981 1.17470070 -0.94538151 1.5634283
#> lag1_var4 0.4371747 1.02885311 -0.39439564 1.8302608
#> const 3.7581301 10.19884024 -6.54039598 16.3235054
#> exo1 0.1855625 0.15698490 0.01554784 0.3608536
#> exo2 -1.2679312 0.09863127 -1.37089134 -1.1636214
#> exo3 3.5091798 0.35797463 3.13815634 3.8967680
#>
#>
#>
#> $ALB
#> $ALB$Sigma
#> $ALB$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.00178198 0.0004336648 0.001354874 0.002312035
#>
#> $ALB$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.0375389 0.01940899 -0.05890713 -0.01721455
#> Sigma[2,2] 7.3510812 3.39618300 5.36899520 11.95145294
#>
#> $ALB$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.02017223 0.01689617 4.654888e-04 0.03982992
#> Sigma[3,2] -5.66300673 3.54381846 -1.052963e+01 -3.19133578
#> Sigma[3,3] 7.10118254 3.44211935 3.784041e+00 11.59230917
#>
#> $ALB$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] -0.005899376 0.007505411 -0.0150494 0.001111579
#> Sigma[4,2] -0.817042534 1.727246051 -2.7880354 1.079528076
#> Sigma[4,3] 3.888090355 1.473619500 1.9521045 5.218118524
#> Sigma[4,4] 3.985503041 0.969231130 2.9569557 5.170331632
#>
#>
#> $ALB$A
#> $ALB$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.01975888 0.02788535 0.991643021 1.054950685
#> lag1_var2 0.02695867 0.02516455 -0.002376681 0.055886666
#> lag1_var3 0.03412431 0.03883741 -0.010581744 0.079680776
#> lag1_var4 -0.02844905 0.03257773 -0.068074825 0.007552394
#> const -0.85090882 0.99075557 -2.005700881 0.295775721
#> exo1 0.01765515 0.04421055 -0.031984218 0.064096182
#> exo2 -0.04253327 0.07269631 -0.119877677 0.035638656
#> exo3 0.05481946 0.03319172 0.019469304 0.094520448
#>
#> $ALB$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -4.60968993 2.211760 -7.602615 -3.312442
#> lag1_var2 4.34773437 1.782369 2.255269 6.348470
#> lag1_var3 6.08192232 2.539638 3.183295 8.958018
#> lag1_var4 -5.11264399 2.134089 -7.605265 -2.758203
#> const 51.99166303 77.782222 6.077545 157.627157
#> exo1 -1.34484323 2.270256 -3.732941 1.326208
#> exo2 -0.07211438 3.884343 -4.577220 4.116597
#> exo3 0.37590388 1.399446 -1.456794 1.635840
#>
#> $ALB$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 2.7145302 1.877204 1.3284876 5.24827077
#> lag1_var2 -2.1817616 1.923691 -4.3404465 -0.31153912
#> lag1_var3 -2.6851734 2.701024 -5.7385948 0.04439961
#> lag1_var4 3.0084819 2.297717 0.6861217 5.62559917
#> const -22.1097096 66.522883 -107.2905330 36.37214810
#> exo1 -0.7587957 1.495345 -1.9319619 0.93033590
#> exo2 -2.6834319 1.175366 -3.6664611 -1.10968101
#> exo3 -1.1341142 1.978535 -2.6733334 1.40203477
#>
#> $ALB$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.4102569 0.9953704 -1.186131 0.92645589
#> lag1_var2 0.5416440 1.6375025 -1.558935 2.02608993
#> lag1_var3 1.2003431 2.2989209 -1.775214 3.16062182
#> lag1_var4 -0.1050683 1.9450367 -1.695692 2.42823427
#> const 6.2894284 45.5733437 -50.046122 53.23249268
#> exo1 -1.5696780 1.8198835 -3.840141 0.34832861
#> exo2 -3.0564126 2.5454893 -5.792947 0.03993739
#> exo3 -0.9993667 1.9068954 -2.751217 1.19863033
#>
#>
#>
#> $ARE
#> $ARE$Sigma
#> $ARE$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.001346015 0.0002298646 0.001079176 0.001575562
#>
#> $ARE$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.002560957 0.001526074 -0.004596905 -0.001301761
#> Sigma[2,2] 0.056867192 0.003229389 0.052484662 0.059301009
#>
#> $ARE$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.00585016 0.002446487 0.002905004 0.007995091
#> Sigma[3,2] -0.06414392 0.015256351 -0.084514088 -0.051578564
#> Sigma[3,3] 0.17693166 0.046539507 0.141137334 0.240339036
#>
#> $ARE$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.004254373 0.002062601 0.002117359 0.006473894
#> Sigma[4,2] -0.021318414 0.014275001 -0.040098212 -0.008400634
#> Sigma[4,3] 0.133740797 0.036378170 0.103914056 0.182527305
#> Sigma[4,4] 0.124584124 0.027698649 0.098872836 0.160018935
#>
#>
#> $ARE$A
#> $ARE$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.93003685 0.04505487 0.87117154 0.96956186
#> lag1_var2 0.09560095 0.01928881 0.07461350 0.11335469
#> lag1_var3 0.09641162 0.03085445 0.06366784 0.13188754
#> lag1_var4 -0.08220785 0.03797388 -0.12022851 -0.03562652
#> const 0.74419151 0.29050583 0.35592290 0.97242116
#> exo1 -0.02180173 0.01228909 -0.03880243 -0.01448101
#> exo2 -0.13942743 0.01696771 -0.16251082 -0.12784865
#> exo3 -0.03948980 0.05543620 -0.11460981 0.00358408
#>
#> $ARE$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.06238258 0.22339572 -0.16723141 0.3466258
#> lag1_var2 0.62761382 0.04820554 0.57364637 0.6847771
#> lag1_var3 -0.21319301 0.07187655 -0.29333934 -0.1375986
#> lag1_var4 0.18968230 0.09489537 0.08555928 0.2766726
#> const 0.62274603 2.13219676 -1.27245296 3.4383108
#> exo1 0.12900248 0.15700895 -0.03393158 0.2942044
#> exo2 1.82611339 0.23039326 1.62225646 2.1323627
#> exo3 -0.79825166 0.22349921 -1.07113222 -0.5729368
#>
#> $ARE$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.36087744 0.3765900 0.03733121 0.86594112
#> lag1_var2 -0.07370509 0.1245323 -0.20026284 0.06688692
#> lag1_var3 0.57934527 0.1937147 0.37116041 0.78029018
#> lag1_var4 0.35738508 0.2560596 0.09966992 0.66388250
#> const -4.94960408 4.7985208 -10.44630097 0.50254677
#> exo1 -0.64971217 0.5563187 -1.13299255 0.05047032
#> exo2 -2.57493117 0.1600440 -2.72663476 -2.37841529
#> exo3 -1.52213231 0.8772591 -2.59496049 -0.66175698
#>
#> $ARE$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.3737527 0.2319194 0.1643877 0.6783040
#> lag1_var2 0.4172298 0.1102068 0.2916746 0.5322991
#> lag1_var3 0.4314877 0.2067593 0.2098858 0.6601949
#> lag1_var4 0.5253306 0.2627822 0.2804594 0.8186553
#> const -6.4623363 3.7605454 -9.9807064 -1.7597914
#> exo1 -0.5330496 0.4834672 -0.9106109 0.1089504
#> exo2 -1.1744044 0.2181211 -1.4695083 -1.0020117
#> exo3 -2.1765489 0.9349002 -3.3408323 -1.3011282
#>
#>
#>
#> $ARG
#> $ARG$Sigma
#> $ARG$Sigma$equation1
#> mean sd 5% quantile 95% quantile
#> Sigma[1,1] 0.002894879 0.0008187749 0.002046574 0.003790796
#>
#> $ARG$Sigma$equation2
#> mean sd 5% quantile 95% quantile
#> Sigma[2,1] -0.07560903 0.02158382 -0.1004572 -0.05319877
#> Sigma[2,2] 3.67715047 0.75968202 2.7545984 4.48109570
#>
#> $ARG$Sigma$equation3
#> mean sd 5% quantile 95% quantile
#> Sigma[3,1] 0.05945822 0.01757685 0.03954859 0.07562798
#> Sigma[3,2] -2.80670833 0.65607753 -3.41739205 -2.07604930
#> Sigma[3,3] 2.44166751 0.69351012 1.73803113 3.25741203
#>
#> $ARG$Sigma$equation4
#> mean sd 5% quantile 95% quantile
#> Sigma[4,1] 0.01561478 0.006853676 0.007450558 0.02285475
#> Sigma[4,2] -0.63573492 0.283072025 -0.970156232 -0.31401178
#> Sigma[4,3] 0.81759470 0.381951007 0.482786284 1.32804196
#> Sigma[4,4] 0.48145911 0.242748693 0.322568494 0.81671477
#>
#>
#> $ARG$A
#> $ARG$A$equation1
#> mean sd 5% quantile 95% quantile
#> lag1_var1 0.91022282 0.03566563 0.869847380 0.952447199
#> lag1_var2 0.15217723 0.02656524 0.119379706 0.180631873
#> lag1_var3 0.25518945 0.04601974 0.200260100 0.306886008
#> lag1_var4 -0.23237525 0.03462718 -0.270167459 -0.189881447
#> const 1.09070690 1.33565681 0.121215711 2.921451650
#> exo1 -0.04148092 0.03797932 -0.079826769 0.006146129
#> exo2 -0.13308682 0.05506309 -0.187446743 -0.071028228
#> exo3 0.03504423 0.03442102 0.006632868 0.074862248
#>
#> $ARG$A$equation2
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -2.72924117 1.5243184 -4.6356620 -1.2559063
#> lag1_var2 1.58686206 1.5109721 -0.1727937 3.3500926
#> lag1_var3 1.38861061 2.6073348 -1.6630340 4.4068243
#> lag1_var4 -0.88440366 2.2382802 -3.3670650 1.7818438
#> const 45.25380080 50.4433975 15.5426413 115.1465774
#> exo1 -0.41810210 0.6373269 -1.2240000 0.2409605
#> exo2 3.09283350 1.4527494 1.9604854 5.0355301
#> exo3 -0.03655396 2.1558781 -1.9400931 2.8350310
#>
#> $ARG$A$equation3
#> mean sd 5% quantile 95% quantile
#> lag1_var1 1.32450746 1.0011158 0.2557697 2.41513582
#> lag1_var2 -0.44006141 1.0022029 -1.3329807 0.82092253
#> lag1_var3 0.03980494 1.7980579 -1.5830253 2.30652408
#> lag1_var4 0.44899317 1.3057355 -1.2850889 1.52690397
#> const -5.79321089 39.6724472 -58.7969562 28.81798944
#> exo1 -0.44258960 0.4609739 -0.9864820 0.06382091
#> exo2 -5.70225343 0.9184125 -6.6924504 -4.79556992
#> exo3 2.62472385 2.2369877 -0.4377712 3.90497321
#>
#> $ARG$A$equation4
#> mean sd 5% quantile 95% quantile
#> lag1_var1 -0.36245923 0.3112879 -0.6709234 0.03739205
#> lag1_var2 0.51172442 0.8944028 -0.5581096 1.51703315
#> lag1_var3 0.86295520 1.4905231 -0.9204920 2.53417579
#> lag1_var4 0.01635364 1.2400672 -1.4365375 1.37861920
#> const 17.39056668 13.6887882 5.0345144 35.15204475
#> exo1 -0.80201216 0.3201501 -1.1567413 -0.41248931
#> exo2 -4.40173054 0.4425837 -4.8855560 -4.02075516
#> exo3 2.98636945 1.2368906 1.3490678 4.07878943
#>
#>
#>