BVAR: plot.bvar – R documentation

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plot.bvar

Plotting method for Bayesian VARs

Description

Method to plot trace and densities of coefficient, hyperparameter and marginal likelihood draws obtained from bvar. Several types of plot are available via the argument type, including traces, densities, plots of forecasts and impulse responses.

Usage

## S3 method for class 'bvar'
plot(
  x,
  type = c("full", "trace", "density", "irf", "fcast"),
  vars = NULL,
  vars_response = NULL,
  vars_impulse = NULL,
  chains = list(),
  mar = c(2, 2, 2, 0.5),
  ...
)

Arguments

`x`	A `bvar` object, obtained from `bvar`.
`type`	A string with the type of plot desired. The default option `"full"` plots both densities and traces.
`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 `NULL`, i.e. all hyperparameters.
`vars_response, vars_impulse`	Optional character or integer vectors used to select coefficents. Dependent variables are specified with vars_response, explanatory ones with vars_impulse. See the example section for a demonstration.
`chains`	List of `bvar` objects. Contents are then added to trace and density plots to help assessing covergence.
`mar`	Numeric vector. Margins for `par`.
`...`	Other graphical parameters for `par`.

Value

Returns x invisibly.

Examples

# 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)

# Plot full traces and densities
plot(x)

# Only plot the marginal likelihood's trace
plot(x, "trace", "ml")

# Access IRF and forecast plotting functions
plot(x, type = "irf", vars_response = 2)
plot(x, type = "fcast", vars = 2)

BVAR

Hierarchical Bayesian Vector Autoregression

v1.0.1

GPL-3 | file LICENSE

Authors

Nikolas Kuschnig [aut, cre] (<https://orcid.org/0000-0002-6642-2543>), Lukas Vashold [aut] (<https://orcid.org/0000-0002-3562-3414>), Michael McCracken [dtc], Serena Ng [dtc]

Initial release

2020-09-26