Retrieve companion matrix from a Bayesian VAR
Calculates the companion matrix for Bayesian VARs generated via
bvar.
companion(object, ...)
## S3 method for class 'bvar'
companion(object, type = c("quantile", "mean"), conf_bands = 0.5, ...)object |
A |
... |
Not used. |
type |
Character scalar. Whether to return quantile or mean values. Note that conf_bands is ignored for mean values. |
conf_bands |
Numeric vector of confidence bands to apply.
E.g. for bands at 5%, 10%, 90% and 95% set this to |
Returns a numeric array/matrix of class bvar_comp with the
VAR's coefficents in companion form at the specified values.
# Access a subset of the fred_qd dataset
data <- fred_qd[, c("CPIAUCSL", "UNRATE", "FEDFUNDS")]
# Transform it to be stationary
data <- fred_transform(data, codes = c(5, 5, 1), lag = 4)
# Estimate a BVAR using one lag, default settings and very few draws
x <- bvar(data, lags = 1, n_draw = 1000L, n_burn = 200L, verbose = FALSE)
# Get companion matrices for confidence bands at 10%, 50% and 90%
companion(x, conf_bands = 0.10)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.