compute_conditional_sd.PosteriorBSVARSIGN {bsvarSIGNs}

Computes posterior draws of structural shock conditional standard deviations

Description

Each of the draws from the posterior estimation of models is transformed into a draw from the posterior distribution of the structural shock conditional standard deviations.

Usage

## S3 method for class 'PosteriorBSVARSIGN'
compute_conditional_sd(posterior)

Arguments

posterior

posterior estimation outcome - an object of class PosteriorBSVARSIGN obtained by running the estimate function.

Value

An object of class PosteriorSigma, that is, an NxTxS array with attribute PosteriorSigma containing S draws of the structural shock conditional standard deviations.

Author(s)

Xiaolei Wang [e-mail] and Tomasz Woźniak [e-mail]

See Also

estimate.BSVARSIGN

Examples

# upload data
data(optimism)

# specify the model and set seed
set.seed(123)

# + no effect on productivity (zero restriction)
# + positive effect on stock prices (positive sign restriction) 
sign_irf       = matrix(c(0, 1, rep(NA, 23)), 5, 5)
specification  = specify_bsvarSIGN$new(optimism, sign_irf = sign_irf)

# estimate the model
posterior      = estimate(specification, 10)

# compute structural shocks' conditional standard deviations
sigma          = compute_conditional_sd(posterior)

# workflow with the pipe |>
############################################################
set.seed(123)
optimism |>
  specify_bsvarSIGN$new(sign_irf = sign_irf) |> 
  estimate(S = 10) |> 
  compute_conditional_sd() -> csd