coef.bvar {BVAR}R Documentation

Coefficient and VCOV methods for Bayesian VARs


Retrieves coefficient / variance-covariance values from Bayesian VAR models generated with bvar. Note that coefficients are available for every stored draw and one may retrieve (a) credible intervals via the conf_bands argument, or (2) means via the type argument.


## S3 method for class 'bvar'
  type = c("quantile", "mean"),
  conf_bands = 0.5,
  companion = FALSE,

## S3 method for class 'bvar'
vcov(object, type = c("quantile", "mean"), conf_bands = 0.5, ...)



A bvar object, obtained from bvar.


Character scalar. Whether to return quantile or mean values. Note that conf_bands is ignored for mean values.


Numeric vector of confidence bands to apply. E.g. for bands at 5%, 10%, 90% and 95% set this to c(0.05, 0.1). Note that the median, i.e. 0.5 is always included.


Logical scalar. Whether to retrieve the companion matrix of coefficients. See companion.bvar.


Not used.


Returns a numeric array of class bvar_coefs or bvar_vcovs at the specified values.

See Also

bvar; companion.bvar


# Access a subset of the fred_qd dataset
data <- fred_qd[, c("CPIAUCSL", "UNRATE", "FEDFUNDS")]
# Transform it to be stationary
data <- fred_transform(data, codes = c(5, 5, 1), lag = 4)

# Estimate a BVAR using one lag, default settings and very few draws
x <- bvar(data, lags = 1, n_draw = 1000L, n_burn = 200L, verbose = FALSE)

# Get coefficent values at the 10%, 50% and 90% quantiles
coef(x, conf_bands = 0.10)

# Only get the median of the variance-covariance matrix
vcov(x, conf_bands = 0.5)

[Package BVAR version 1.0.2 Index]