compute_variance_decompositions {bsvars}

Computes posterior draws of the forecast error variance decomposition

Description

Each of the draws from the posterior estimation of a model is transformed into a draw from the posterior distribution of the forecast error variance decomposition.

Usage

compute_variance_decompositions(posterior, horizon)

Arguments

posterior

posterior estimation outcome - an object of one of the classes: PosteriorBSVAR, PosteriorBSVARMSH, PosteriorBSVARMIX, or PosteriorBSVARSV obtained by running the estimate function. The interpretation depends on the normalisation of the shocks using function normalise_posterior(). Verify if the default settings are appropriate.

horizon

a positive integer number denoting the forecast horizon for the impulse responses computations.

Value

An object of class PosteriorFEVD, that is, an NxNx(horizon+1)xS array with attribute PosteriorFEVD containing S draws of the forecast error variance decomposition.

Author(s)

Tomasz Woźniak [e-mail]

References

Kilian, L., & Lütkepohl, H. (2017). Structural VAR Tools, Chapter 4, In: Structural vector autoregressive analysis. Cambridge University Press.

See Also

compute_impulse_responses, estimate, normalise_posterior

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 forecast error variance decomposition 2 years ahead
fevd           = compute_variance_decompositions(posterior, horizon = 8)

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar$new(p = 2) |>
  estimate(S = 10) |> 
  estimate(S = 50) |> 
  compute_variance_decompositions(horizon = 8) -> fevd