coef.bvar {BVAR} | R Documentation |
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' coef( object, 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, ...)
object |
A |
type |
Character scalar. Whether to return quantile or mean values. Note that conf_bands is ignored for mean values. |
conf_bands |
Numeric vector of confidence bands to apply.
E.g. for bands at 5%, 10%, 90% and 95% set this to |
companion |
Logical scalar. Whether to retrieve the companion matrix of
coefficients. See |
... |
Not used. |
Returns a numeric array of class bvar_coefs
or
bvar_vcovs
at the specified values.
# 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)