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Computes posterior draws from data predictive density

Source: R/compute_fitted_values.R
compute_fitted_values.PosteriorBSVARMIX.Rd

Each of the draws from the posterior estimation of models from packages bsvars or bsvarSIGNs is transformed into a draw from the data predictive density.

Usage

# S3 method for class 'PosteriorBSVARMIX'
compute_fitted_values(posterior)

Arguments

posterior

posterior estimation outcome - an object of class PosteriorBSVARMIX obtained by running the estimate function.

Value

An object of class PosteriorFitted, that is, an NxTxS array with attribute PosteriorFitted containing S draws from the data predictive density.

See also

estimate, summary

Author

Tomasz Woźniak wozniak.tom@pm.me

Examples

specification  = specify_bsvar_mix$new(us_fiscal_lsuw, M = 2)
#> The identification is set to the default option of lower-triangular structural matrix.
burn_in        = estimate(specification, 5)
#> **************************************************|
#> bsvars: Bayesian Structural Vector Autoregressions|
#> **************************************************|
#>  Gibbs sampler for the SVAR-finiteMIX model             |
#> **************************************************|
#>  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)
#> **************************************************|
#> bsvars: Bayesian Structural Vector Autoregressions|
#> **************************************************|
#>  Gibbs sampler for the SVAR-finiteMIX model             |
#> **************************************************|
#>  Progress of the MCMC simulation for 5 draws
#>     Every draw is saved via MCMC thinning
#>  Press Esc to interrupt the computations
#> **************************************************|

# compute draws from in-sample predictive density
csd     = compute_fitted_values(posterior)

# workflow with the pipe |>
############################################################
us_fiscal_lsuw |>
  specify_bsvar_mix$new(M = 2) |>
  estimate(S = 5) |> 
  estimate(S = 5) |> 
  compute_fitted_values() -> csd
#> The identification is set to the default option of lower-triangular structural matrix.
#> **************************************************|
#> bsvars: Bayesian Structural Vector Autoregressions|
#> **************************************************|
#>  Gibbs sampler for the SVAR-finiteMIX model             |
#> **************************************************|
#>  Progress of the MCMC simulation for 5 draws
#>     Every draw is saved via MCMC thinning
#>  Press Esc to interrupt the computations
#> **************************************************|
#> **************************************************|
#> bsvars: Bayesian Structural Vector Autoregressions|
#> **************************************************|
#>  Gibbs sampler for the SVAR-finiteMIX model             |
#> **************************************************|
#>  Progress of the MCMC simulation for 5 draws
#>     Every draw is saved via MCMC thinning
#>  Press Esc to interrupt the computations
#> **************************************************|