Compares response durations across model specifications — compare_duration

Summarises across model specifications the number of horizons over which posterior response draws satisfy a specified threshold condition.

Usage

compare_duration_response(
  ...,
  horizon = NULL,
  type = c("irf", "cdm"),
  variables = NULL,
  shocks = NULL,
  variable = NULL,
  shock = NULL,
  relation = c(">", ">=", "<", "<="),
  value = 0,
  absolute = FALSE,
  mode = c("consecutive", "total"),
  probability = 0.9,
  scale_by = c("none", "shock_sd"),
  scale_var = NULL
)

Arguments

...: Posterior model objects or a named list of model objects.
horizon: Maximum horizon used when object is a posterior model object. If NULL (default), resolves to 20 periods.
type: Response type for posterior model objects: "irf" or "cdm".
variables: Response variables to include.
shocks: Structural shocks to include.
variable: Deprecated. Use variables instead.
shock: Deprecated. Use shocks instead.
relation: Comparison operator.
value: Threshold value.
absolute: If TRUE, compare absolute responses.
mode: Either "consecutive" or "total".
probability: Probability mass of the equal-tailed credible interval.
scale_by: Optional scaling mode for CDMs.
scale_var: Optional scaling variable specification.

Value

A bsvar_post_tbl combining duration summary 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_duration_response(m1 = post1, m2 = post2, horizon = 3,
                                   relation = ">", value = 0)
head(comp)
#> # A tibble: 6 × 22
#>   model object_type  variable shock relation threshold mode        mean_duration
#>   <chr> <chr>        <chr>    <chr> <chr>        <dbl> <chr>               <dbl>
#> 1 m1    duration_irf ttr      ttr   >                0 consecutive           2.2
#> 2 m1    duration_irf ttr      gs    >                0 consecutive           0  
#> 3 m1    duration_irf ttr      gdp   >                0 consecutive           0  
#> 4 m1    duration_irf gs       ttr   >                0 consecutive           1.8
#> 5 m1    duration_irf gs       gs    >                0 consecutive           4  
#> 6 m1    duration_irf gs       gdp   >                0 consecutive           0  
#> # ℹ 14 more variables: median_duration <dbl>, sd_duration <dbl>,
#> #   lower_duration <dbl>, upper_duration <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>