Compares forecast error variance decompositions across model specifications

Summarises posterior draws of forecast error variance decompositions from two or more posterior model objects in a common table identified by model specification.

Usage

compare_fevd(..., horizon = NULL, probability = 0.9, draws = FALSE)

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.

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_fevd(m1 = post1, m2 = post2, horizon = 3)
head(comp)
#> # A tibble: 6 × 20
#>   model object_type variable shock horizon   mean median    sd  lower  upper
#>   <chr> <chr>       <chr>    <chr>   <dbl>  <dbl>  <dbl> <dbl>  <dbl>  <dbl>
#> 1 m1    fevd        ttr      ttr         0 100    100     0    100    100   
#> 2 m1    fevd        ttr      ttr         1  77.0   73.4   7.24  72.3   87.0 
#> 3 m1    fevd        ttr      ttr         2  58.5   54.8   7.34  53.5   68.7 
#> 4 m1    fevd        ttr      ttr         3  46.2   45.7   3.08  43.1   50.2 
#> 5 m1    fevd        ttr      gs          0   0      0     0      0      0   
#> 6 m1    fevd        ttr      gs          1   5.60   5.45  2.63   2.38   8.37
#> # ℹ 10 more variables: 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>