BGVAR (version 2.0.0)

vcov.bgvar: Extract variance-covariance matrix

Description

Extracts the global variance-covariance matrix for bgvar for certain quantiles of the posterior distribution.

Usage

# S3 method for bgvar
vcov(object, ..., quantile = 0.5)

Arguments

object

an object of class bgvar.

...

additional arguments.

quantile

reported quantiles. Default is set to median.

Value

Returns an q times K times K array of the global variance-covariance matrix, where q is the number of specified quantiles (this dimension is dropped if q=1) and K the number of endogenous variables.

Examples

# NOT RUN {
library(BGVAR)
data(eerData)
model.ng <- bgvar(Data=eerData,W=W.trade0012,plag=1,saves=100,burns=100)
vcov(model.ng)
# }