coef.bvar {BVAR} R Documentation

## Coefficient and VCOV methods for Bayesian VARs

### Description

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.

### Usage

```## 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, ...)
```

### Arguments

 `object` A `bvar` object, obtained from `bvar`. `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 `c(0.05, 0.1)`. Note that the median, i.e. 0.5 is always included. `companion` Logical scalar. Whether to retrieve the companion matrix of coefficients. See `companion.bvar`. `...` Not used.

### Value

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

`bvar`; `companion.bvar`

### Examples

```
# 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]