Fitted and residual methods for Bayesian VARs
Calculates fitted or residual values for Bayesian VAR models generated with
bvar.
## S3 method for class 'bvar'
fitted(object, type = c("quantile", "mean"), conf_bands = 0.5, ...)
## S3 method for class 'bvar'
residuals(object, type = c("quantile", "mean"), conf_bands = 0.5, ...)
## S3 method for class 'bvar_resid'
plot(x, vars = NULL, mar = c(2, 2, 2, 0.5), ...)object |
A |
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 |
... |
Not used. |
x |
Object of class |
vars |
Character vector used to select variables. Elements are matched
to hyperparameters or coefficients. Coefficients may be matched based on
the dependent variable (by providing the name or position) or the
explanatory variables (by providing the name and the desired lag). See the
example section for a demonstration. Defaults to |
mar |
Numeric vector. Margins for |
Returns a numeric array of class bvar_fitted or
bvar_resid 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 fitted values and adjust confidence bands to 10%, 50% and 90%
fitted(x, conf_bands = 0.10)
# Get the residuals of variable 1
resid(x, vars = 1)
## Not run:
# Get residuals and plot them
plot(residuals(x))
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