summary.SDDRvolatility function

Provides summary of verifying homoskedasticity

Provides summary of the Savage-Dickey density ratios for verification of structural shocks homoskedasticity.

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

Arguments

• object: an object of class SDDRvolatility obtained using the verify_volatility() function.
• ...: additional arguments affecting the summary produced.

Returns

A table reporting the logarithm of Bayes factors of homoskedastic to heteroskedastic posterior odds "log(SDDR)" for each structural shock, their numerical standard errors "NSE", and the implied posterior probability of the homoskedasticity and heteroskedasticity hypothesis, "Pr[homoskedasticity|data]" and "Pr[heteroskedasticity|data]"

respectively.

Examples

# upload data
data(us_fiscal_lsuw)

# specify the model and set seed
specification  = specify_bsvar_msh$new(us_fiscal_lsuw, p = 1, M = 2)
set.seed(123)

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

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

# workflow with the pipe |>
############################################################
set.seed(123)
us_fiscal_lsuw |>
  specify_bsvar_msh$new(p = 1, M = 2) |>
  estimate(S = 10) |> 
  verify_volatility() |> 
  summary() -> sddr_summary

See Also

verify_volatility

Author(s)

Tomasz Woźniak wozniak.tom@pm.me