fitted.bvar {BVAR}R Documentation

Fitted and residual methods for Bayesian VARs


Calculates fitted or residual values for Bayesian VAR models generated with bvar.


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

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

## S3 method for class 'bvar_resid'
plot(x, vars = NULL, mar = c(2, 2, 2, 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.


Not used.


Object of class bvar_fitted / bvar_resid.


Character vector used to select variables. Elements are matched to hyperparameters or coefficients. Coefficients may be matched based on the dependent variable (by providing the name or position) or the explanatory variables (by providing the name and the desired lag). See the example section for a demonstration. Defaults to NULL, i.e. all hyperparameters.


Numeric vector. Margins for par.


Returns a numeric array of class bvar_fitted or bvar_resid at the specified values.

See Also



# 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 fitted values and adjust confidence bands to 10%, 50% and 90%
fitted(x, conf_bands = 0.10)

# Get the residuals of variable 1
resid(x, vars = 1)

## Not run: 
# Get residuals and plot them

## End(Not run)

[Package BVAR version 1.0.1 Index]