Cumulative Dynamic Multipliers

Compute cumulative dynamic multipliers (CDMs) for posterior objects from bsvars and bsvarSIGNs.

Usage

cdm(object, ...)

# Default S3 method
cdm(object, ...)

# S3 method for class 'PosteriorBSVAR'
cdm(
  object,
  horizon = NULL,
  probability = 0.9,
  scale_by = c("none", "shock_sd"),
  scale_var = NULL,
  ...
)

# S3 method for class 'PosteriorBSVARMIX'
cdm(
  object,
  horizon = NULL,
  probability = 0.9,
  scale_by = c("none", "shock_sd"),
  scale_var = NULL,
  ...
)

# S3 method for class 'PosteriorBSVARMSH'
cdm(
  object,
  horizon = NULL,
  probability = 0.9,
  scale_by = c("none", "shock_sd"),
  scale_var = NULL,
  ...
)

# S3 method for class 'PosteriorBSVARSV'
cdm(
  object,
  horizon = NULL,
  probability = 0.9,
  scale_by = c("none", "shock_sd"),
  scale_var = NULL,
  ...
)

# S3 method for class 'PosteriorBSVART'
cdm(
  object,
  horizon = NULL,
  probability = 0.9,
  scale_by = c("none", "shock_sd"),
  scale_var = NULL,
  ...
)

# S3 method for class 'PosteriorBSVARSIGN'
cdm(
  object,
  horizon = NULL,
  probability = 0.9,
  scale_by = c("none", "shock_sd"),
  scale_var = NULL,
  ...
)

Arguments

object

A posterior model object.

...

Additional arguments passed to methods.

horizon

Forecast horizon.

probability

Equal-tailed interval probability.

scale_by

Optional scaling mode for CDMs.

scale_var

Optional scaling variable specification.

Value

A 4-dimensional array of class PosteriorCDM with dimensions [variables x shocks x (horizon + 1) x draws].

Examples

data(us_fiscal_lsuw, package = "bsvars")
spec <- bsvars::specify_bsvar$new(us_fiscal_lsuw, p = 1)
#> The identification is set to the default option of lower-triangular structural matrix.
post <- bsvars::estimate(spec, S = 5, show_progress = FALSE)

cdm_draws <- cdm(post, horizon = 3)
dim(cdm_draws)
#> [1] 3 3 4 5