compute_fitted_values {bsvars}

Computes posterior draws of dependent variables' fitted values

Description

Each of the draws from the posterior estimation of a model is transformed into a draw from the posterior distribution of the fitted values.

Usage

compute_fitted_values(posterior)

Arguments

posterior

posterior estimation outcome - an object of either of the classes: PosteriorBSVAR, PosteriorBSVARMSH, PosteriorBSVARMIX, or PosteriorBSVARSV obtained by running the estimate function.

Value

An object of class PosteriorFitted, that is, an NxTxS array with attribute PosteriorFitted containing S draws of the fitted values.

Author(s)

Tomasz Woźniak [e-mail]

See Also

estimate

Examples

# upload data
data(us_fiscal_lsuw)

# specify the model and set seed
set.seed(123)
specification  = specify_bsvar$new(us_fiscal_lsuw, p = 1)

# run the burn-in
burn_in        = estimate(specification, 10)

# estimate the model
posterior      = estimate(burn_in, 50)

# compute dependent variables' fitted values
fitted         = compute_fitted_values(posterior)

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar$new(p = 1) |>
  estimate(S = 50) |> 
  estimate(S = 100) |> 
  compute_fitted_values() -> fitted