bsvars (version 3.1)

compute_conditional_sd: Computes posterior draws of structural shock conditional standard deviations

Description

Each of the draws from the posterior estimation of models is transformed into a draw from the posterior distribution of the structural shock conditional standard deviations.

Usage

compute_conditional_sd(posterior)

Value

An object of class PosteriorSigma, that is, an NxTxS

array with attribute PosteriorSigma containing S draws of the structural shock conditional standard deviations.

Arguments

posterior

posterior estimation outcome obtained by running the estimate function. The interpretation depends on the normalisation of the shocks using function normalise_posterior(). Verify if the default settings are appropriate.

Author

Tomasz Woźniak

See Also

estimate, normalise_posterior, summary

Examples

# upload data
data(us_fiscal_lsuw)

# specify the model and set seed
set.seed(123)
specification  = specify_bsvar$new(us_fiscal_lsuw, p = 1)

# run the burn-in
burn_in        = estimate(specification, 10)

# estimate the model
posterior      = estimate(burn_in, 20)

# compute structural shocks' conditional standard deviations
sigma          = compute_conditional_sd(posterior)

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar$new(p = 1) |>
  estimate(S = 10) |> 
  estimate(S = 20) |> 
  compute_conditional_sd() -> csd