bsvars (version 3.1)

compute_fitted_values.PosteriorBSVART: Computes posterior draws from data predictive density

Description

Each of the draws from the posterior estimation of the model is transformed into a draw from the data predictive density.

Usage

# S3 method for PosteriorBSVART
compute_fitted_values(posterior)

Value

An object of class PosteriorFitted, that is, an NxTxS

array with attribute PosteriorFitted containing S draws from the data predictive density.

Arguments

posterior

posterior estimation outcome - an object of class PosteriorBSVART obtained by running the estimate function.

Author

Tomasz Woźniak

See Also

estimate, summary

Examples

# upload data
data(us_fiscal_lsuw)

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

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

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

# compute draws from in-sample predictive density
fitted         = compute_fitted_values(posterior)

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