Compares cumulative dynamic multipliers across model specifications

Summarises posterior draws of cumulative dynamic multipliers from two or more model objects in a common table identified by model specification.

Usage

compare_cdm(
  ...,
  horizon = NULL,
  probability = 0.9,
  draws = FALSE,
  scale_by = c("none", "shock_sd"),
  scale_var = NULL
)

Arguments

...: Posterior model objects or a named list of model objects.
horizon: Forecast horizon. If NULL (default), resolves to 20 periods.
probability: Probability mass of the equal-tailed credible interval.
draws: If TRUE, report individual posterior draws rather than posterior summaries.
scale_by: Optional scaling mode for CDMs.
scale_var: Optional scaling variable specification.

Value

A bsvar_post_tbl combining results across models, with a model column identifying each model specification.

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.
post1 <- bsvars::estimate(spec, S = 5, show_progress = FALSE)
post2 <- bsvars::estimate(spec, S = 5, show_progress = FALSE)

comp <- compare_cdm(m1 = post1, m2 = post2, horizon = 3)
head(comp)
#> # A tibble: 6 × 20
#>   model object_type variable shock horizon    mean  median     sd      lower
#>   <chr> <chr>       <chr>    <chr>   <dbl>   <dbl>   <dbl>  <dbl>      <dbl>
#> 1 m1    cdm         ttr      ttr         0  0.0424 0.0295  0.0296   0.0283  
#> 2 m1    cdm         ttr      ttr         1 -0.671  0.0542  1.62    -2.85    
#> 3 m1    cdm         ttr      ttr         2 -1.78   0.0777  4.16    -7.36    
#> 4 m1    cdm         ttr      ttr         3 -2.92   0.0920  6.74   -12.0     
#> 5 m1    cdm         ttr      gs          0  0      0       0        0       
#> 6 m1    cdm         ttr      gs          1  0.753  0.00191 1.68    -0.000456
#> # ℹ 11 more variables: upper <dbl>, analysis_type <chr>,
#> #   interval_probability <dbl>, interval_method <chr>, scale_by <chr>,
#> #   scale_var <chr>, scale_factor <dbl>, units <chr>, source_package <chr>,
#> #   source_version <chr>, n_draws <int>