residuals {BGVAR} | R Documentation |
Extract Residuals of Bayesian GVAR
Description
Calculate residuals of the global model and the country models.
Usage
## S3 method for class 'bgvar'
residuals(object, ...)
## S3 method for class 'bgvar'
resid(object, ...)
Arguments
object |
A fitted |
... |
Additional arguments. |
Details
This function calculates residuals of the global and the country models based on a bgvar
object. Country models' residuals are equivalent to output generated by the print.bgvar
function in case no trimming has been used. If trimming was invoked to discard unstable draws output of both functions might differ since print.bgvar
calculates residuals as a running mean to save storage which is based on the whole set of posterior draws (including discarded draws). In this case it is recommended to recalculate the residuals with residuals.bgvar
and re-do the serial autocorrelation or average pairwise cross-correlation analysis using functions resid.corr.test
and avg.pair.cc
.
Value
Returns a list with the following arguments
global
A (T-p) times K times draws/thin array containing the residuals of the global model.
country
A (T-p) times K times draws/thin array containing the residuals of the country models.
Data
A (T-p) times K matrix containing the data of the model.
Author(s)
Maximilian Boeck, Martin Feldkircher
See Also
bgvar
for estimation of a bgvar
object.
Examples
library(BGVAR)
data(testdata)
model.ng <- bgvar(Data=testdata,W=W.test,plag=1,draws=100,burnin=100)
resid(model.ng)
resid(model.ng)