Provides posterior summary of the impulse responses of each variable to each of the shocks at all horizons. Includes their posterior means, standard deviations, as well as 5 and 95 percentiles.
Usage
# S3 method for class 'PosteriorIR'
summary(object, ...)Arguments
- object
an object of class PosteriorIR obtained using the
compute_impulse_responses()function containing draws from the posterior distribution of the impulse responses.- ...
additional arguments affecting the summary produced.
Value
A list reporting the posterior mean, standard deviations, as well as 5 and 95 percentiles of the impulse responses of each variable to each of the shocks at all horizons.
Author
Tomasz Woźniak wozniak.tom@pm.me
Examples
# upload data
data(us_fiscal_lsuw)
# specify the model and set seed
set.seed(123)
specification = specify_bsvar$new(us_fiscal_lsuw)
#> The identification is set to the default option of lower-triangular structural matrix.
# run the burn-in
burn_in = estimate(specification, 10)
#> **************************************************|
#> bsvars: Bayesian Structural Vector Autoregressions|
#> **************************************************|
#> Gibbs sampler for the SVAR model |
#> **************************************************|
#> Progress of the MCMC simulation for 10 draws
#> Every draw is saved via MCMC thinning
#> Press Esc to interrupt the computations
#> **************************************************|
# estimate the model
posterior = estimate(burn_in, 20)
#> **************************************************|
#> bsvars: Bayesian Structural Vector Autoregressions|
#> **************************************************|
#> Gibbs sampler for the SVAR model |
#> **************************************************|
#> Progress of the MCMC simulation for 20 draws
#> Every draw is saved via MCMC thinning
#> Press Esc to interrupt the computations
#> **************************************************|
# compute impulse responses
irf = compute_impulse_responses(posterior, horizon = 4)
irf_summary = summary(irf)
#> **************************************************|
#> bsvars: Bayesian Structural Vector Autoregressions|
#> **************************************************|
#> Posterior summary of impulse responses |
#> **************************************************|
# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
specify_bsvar$new() |>
estimate(S = 10) |>
estimate(S = 20) |>
compute_impulse_responses(horizon = 4) |>
summary() -> irf_summary
#> The identification is set to the default option of lower-triangular structural matrix.
#> **************************************************|
#> bsvars: Bayesian Structural Vector Autoregressions|
#> **************************************************|
#> Gibbs sampler for the SVAR model |
#> **************************************************|
#> Progress of the MCMC simulation for 10 draws
#> Every draw is saved via MCMC thinning
#> Press Esc to interrupt the computations
#> **************************************************|
#> **************************************************|
#> bsvars: Bayesian Structural Vector Autoregressions|
#> **************************************************|
#> Gibbs sampler for the SVAR model |
#> **************************************************|
#> Progress of the MCMC simulation for 20 draws
#> Every draw is saved via MCMC thinning
#> Press Esc to interrupt the computations
#> **************************************************|
#> **************************************************|
#> bsvars: Bayesian Structural Vector Autoregressions|
#> **************************************************|
#> Posterior summary of impulse responses |
#> **************************************************|