vcov function

Extract Variance-covariance Matrix of Bayesian GVAR

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

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

Arguments

• object: An object of class bgvar.
• ...: Additional arguments.
• quantile: Reported quantiles. Default is set to median.

Returns

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

library(BGVAR)
data(testdata)
model.ng <- bgvar(Data=testdata,W=W.test,plag=1,draws=100,burnin=100)
vcov(model.ng)

See Also

bgvar for estimation of a bgvar object.