BVAR: summary.bvar – R documentation

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summary.bvar

Summary method for Bayesian VARs

Description

Retrieves several outputs of interest, including the median coefficient matrix, the median variance-covariance matrix, and the log-likelihood. Separate summary methods exist for impulse responses and forecasts.

Usage

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

Arguments

`object`	A `bvar` object, obtained from `bvar`.
`...`	Not used.

Value

Returns a list of class bvar_summary with elements that can can be accessed individually:

bvar - the bvar object provided.
coef - coefficient values from coef.bvar.
vcov - VCOV values from vcov.bvar.
logLik - the log-likelihood from logLik.

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)

summary(x)

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