summary.SDDRidT function

Provides summary of verifying shocks' normality

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.

## S3 method for class 'SDDRidT'
summary(object, ...)

Arguments

• object: an object of class SDDRidT obtained using the verify_identification.PosteriorBSVART function.
• ...: additional arguments affecting the summary produced.

Returns

A table reporting the Bayes factor of normal to Student-t shocks posterior odds "SDDR" as well as its logarithm "log(SDDR)"for each structural shock, and the implied posterior probability of the normality and Student-t hypothesis, "Pr[normal|data]" and "Pr[Student-t|data]"

respectively.

Examples

# upload data
data(us_fiscal_lsuw)

# specify the model and set seed
specification  = specify_bsvar_t$new(us_fiscal_lsuw)
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_t$new() |>
  estimate(S = 10) |> 
  verify_identification() |> 
  summary() -> sddr_summary

See Also

verify_identification.PosteriorBSVART

Author(s)

Tomasz Woźniak wozniak.tom@pm.me