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Computes posterior draws of structural shocks

Source: R/compute_structural_shocks.R
compute_structural_shocks.PosteriorBSVARSV.Rd

Each of the draws from the posterior estimation of models from packages bsvars or bsvarSIGNs is transformed into a draw from the posterior distribution of the structural shocks.

Usage

# S3 method for class 'PosteriorBSVARSV'
compute_structural_shocks(posterior)

Arguments

posterior

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

Value

An object of class PosteriorShocks, that is, an NxTxS array with attribute PosteriorShocks containing S draws of the structural shocks.

See also

estimate, normalise, summary

Author

Tomasz Woźniak wozniak.tom@pm.me

Examples

specification  = specify_bsvar_sv$new(us_fiscal_lsuw, p = 1)
#> 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-SV model              |
#>    Non-centred SV model is estimated              |
#> **************************************************|
#>  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-SV model              |
#>    Non-centred SV model is estimated              |
#> **************************************************|
#>  Progress of the MCMC simulation for 5 draws
#>     Every draw is saved via MCMC thinning
#>  Press Esc to interrupt the computations
#> **************************************************|

# compute structural shocks
shocks         = compute_structural_shocks(posterior)

# workflow with the pipe |>
############################################################
us_fiscal_lsuw |>
  specify_bsvar_sv$new(p = 1) |>
  estimate(S = 5) |> 
  estimate(S = 5) |> 
  compute_structural_shocks() -> ss
#> The identification is set to the default option of lower-triangular structural matrix.
#> **************************************************|
#> bsvars: Bayesian Structural Vector Autoregressions|
#> **************************************************|
#>  Gibbs sampler for the SVAR-SV model              |
#>    Non-centred SV model is estimated              |
#> **************************************************|
#>  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-SV model              |
#>    Non-centred SV model is estimated              |
#> **************************************************|
#>  Progress of the MCMC simulation for 5 draws
#>     Every draw is saved via MCMC thinning
#>  Press Esc to interrupt the computations
#> **************************************************|