bsvars (version 3.1)

summary.SDDRidMIX: Provides summary of verifying shocks' normality

Description

Provides summary of the Savage-Dickey density ratios for verification of structural shocks normality. The outcomes can be used to make probabilistic statements about identification through non-normality.

Usage

# S3 method for SDDRidMIX
summary(object, ...)

Value

A table reporting the logarithm of Bayes factors of normal to non-normal shocks posterior odds "log(SDDR)" for each structural shock, their numerical standard errors "NSE", and the implied posterior probability of the normality and non-normality hypothesis, "Pr[normal|data]" and "Pr[non-normal|data]"

respectively.

Arguments

object

an object of class SDDRidMIX obtained using the verify_identification.PosteriorBSVARMIX function.

...

additional arguments affecting the summary produced.

Author

Tomasz Woźniak

See Also

verify_identification.PosteriorBSVARMIX

Examples

# upload data
data(us_fiscal_lsuw)

# specify the model and set seed
specification  = specify_bsvar_mix$new(us_fiscal_lsuw, M = 2)
set.seed(123)

# estimate the model
posterior      = estimate(specification, 10)

# verify heteroskedasticity
sddr           = verify_identification(posterior)
summary(sddr)

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar_mix$new(M = 2) |>
  estimate(S = 10) |> 
  verify_identification() |> 
  summary() -> sddr_summary