hpd_interval

Computes the approximate highest posterior density interval
(HPDI).

internal

Determining potential output and the output gap - two inherently unobservable variables - is a major challenge for macroeconomists. 'sectorgap' features a flexible modeling and estimation framework for a multivariate Bayesian state space model identifying economic output fluctuations consistent with subsectors of the economy. The proposed model is able to capture various correlations between output and a set of aggregate as well as subsector indicators. Estimation of the latent states and parameters is achieved using a simple Gibbs sampling procedure and various plotting options facilitate the assessment of the results. For details on the methodology and an illustrative example, see Streicher (2024) <https://www.research-collection.ethz.ch/handle/20.500.11850/653682>.

Sina Streicher

sectorgap

Consistent Economic Trend Cycle Decomposition

hpd_interval function

<dl><dt>x</dt>
<dd>A <code>R x n</code> matrix with <code>R</code> draws of <code>n</code> variables</dd>
<dt>prob</dt>
<dd>The probability mass of the interval, a scalar between zero and one</dd></dl>

Arguments

Highest posterior density interval (HPDI) — hpd_interval

<dl>

<dt>x</dt>
<dd>A <code>R x n</code> matrix with <code>R</code> draws of <code>n</code> variables</dd>


<dt>prob</dt>
<dd>The probability mass of the interval, a scalar between zero and one</dd>

</dl>

hpd_interval: Highest posterior density interval (HPDI)

Description

Usage

Value

Arguments