compute_historical_decompositions {bsvars} | R Documentation |
Computes posterior draws of historical decompositions
Description
Each of the draws from the posterior estimation of a model is transformed into a draw from the posterior distribution of the historical decompositions.
Usage
compute_historical_decompositions(posterior)
Arguments
posterior |
posterior estimation outcome - an object of either of the classes:
PosteriorBSVAR, PosteriorBSVARMSH, PosteriorBSVARMIX, or PosteriorBSVARSV
obtained by running the |
Value
An object of class PosteriorHD, that is, an NxNxTxS
array with attribute PosteriorHD
containing S
draws of the historical decompositions.
Author(s)
Tomasz Woźniak wozniak.tom@pm.me
References
Kilian, L., & Lütkepohl, H. (2017). Structural VAR Tools, Chapter 4, In: Structural vector autoregressive analysis. Cambridge University Press.
See Also
Examples
# upload data
data(us_fiscal_lsuw)
# specify the model and set seed
set.seed(123)
specification = specify_bsvar$new(us_fiscal_lsuw, p = 1)
# run the burn-in
burn_in = estimate(specification, 10)
# estimate the model
posterior = estimate(burn_in, 50)
# compute historical decompositions
hd = compute_historical_decompositions(posterior)
# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
specify_bsvar$new(p = 1) |>
estimate(S = 50) |>
estimate(S = 100) |>
compute_historical_decompositions() -> hd