compute_fitted_values function

Computes posterior draws from data predictive density

Each of the draws from the posterior estimation of models from packages bsvars or bsvarSIGNs is transformed into a draw from the data predictive density.

compute_fitted_values(posterior)

Arguments

• posterior: posterior estimation outcome obtained by running the estimate function.

Returns

An object of class PosteriorFitted, that is, an NxTxS

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

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

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

See Also

estimate, summary

Author(s)

Tomasz Woźniak wozniak.tom@pm.me