compute_structural_shocks {bsvars} | R Documentation |
Computes posterior draws of structural shocks
Description
Each of the draws from the posterior estimation of a model is transformed into a draw from the posterior distribution of the structural shocks.
Usage
compute_structural_shocks(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 PosteriorShocks, that is, an NxTxS
array with attribute PosteriorShocks
containing S
draws of the structural shocks.
Author(s)
Tomasz Woźniak wozniak.tom@pm.me
See Also
Examples
# upload data
data(us_fiscal_lsuw)
# specify the model and set seed
set.seed(123)
specification = specify_bsvar$new(us_fiscal_lsuw, p = 2)
# run the burn-in
burn_in = estimate(specification, 10)
# estimate the model
posterior = estimate(burn_in$get_last_draw(), 50)
# compute structural shocks
shocks = compute_structural_shocks(posterior)
# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
specify_bsvar$new(p = 1) |>
estimate(S = 10) |>
estimate(S = 50) |>
compute_structural_shocks() -> ss
[Package bsvars version 2.1.0 Index]