summary.SDDRidSV {bsvars}

Provides summary of verifying homoskedasticity

Description

Provides summary of the Savage-Dickey density ratios for verification of structural shocks homoskedasticity. The outcomes can be used to make probabilistic statements about identification through heteroskedasticity following Lütkepohl, Shang, Uzeda & Woźniak (2024).

Usage

## S3 method for class 'SDDRidSV'
summary(object, ...)

Arguments

object

an object of class SDDRidSV obtained using the verify_identification.PosteriorBSVARSV function.

...

additional arguments affecting the summary produced.

Value

A table reporting the logarithm of Bayes factors of homoskedastic to heteroskedastic posterior odds "log(SDDR)" for each structural shock, their numerical standard errors "NSE", and the implied posterior probability of the homoskedasticity and heteroskedasticity hypothesis, "Pr[homoskedasticity|data]" and "Pr[heteroskedasticity|data]" respectively.

Author(s)

Tomasz Woźniak [e-mail]

References

Lütkepohl, H., Shang, F., Uzeda, L., and Woźniak, T. (2024) Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. University of Melbourne Working Paper, 1–57, doi:10.48550/arXiv.2404.11057.

See Also

verify_identification.PosteriorBSVARSV

Examples

# upload data
data(us_fiscal_lsuw)

# specify the model and set seed
specification  = specify_bsvar_sv$new(us_fiscal_lsuw)
set.seed(123)

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

# verify heteroskedasticity
sddr           = verify_identification(posterior)
summary(sddr)

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar_sv$new() |>
  estimate(S = 10) |> 
  verify_identification() |> 
  summary() -> sddr_summary