compute_conditional_sd.PosteriorBSVARSIGN {bsvarSIGNs} | R Documentation |
Each of the draws from the posterior estimation of models is transformed into a draw from the posterior distribution of the structural shock conditional standard deviations.
## S3 method for class 'PosteriorBSVARSIGN'
compute_conditional_sd(posterior)
posterior |
posterior estimation outcome - an object of class
|
An object of class PosteriorSigma
, that is, an NxTxS
array with attribute PosteriorSigma
containing S
draws of the
structural shock conditional standard deviations.
Xiaolei Wang adamwang15@gmail.com and Tomasz Woźniak wozniak.tom@pm.me
# upload data
data(optimism)
# specify the model and set seed
set.seed(123)
# + no effect on productivity (zero restriction)
# + positive effect on stock prices (positive sign restriction)
sign_irf = matrix(c(0, 1, rep(NA, 23)), 5, 5)
specification = specify_bsvarSIGN$new(optimism, sign_irf = sign_irf)
# estimate the model
posterior = estimate(specification, 10)
# compute structural shocks' conditional standard deviations
sigma = compute_conditional_sd(posterior)
# workflow with the pipe |>
############################################################
set.seed(123)
optimism |>
specify_bsvarSIGN$new(sign_irf = sign_irf) |>
estimate(S = 10) |>
compute_conditional_sd() -> csd