Compares posterior impulse responses across model specifications

Summarises impulse-response draws from two or more posterior model objects in a common table identified by model specification.

Usage

compare_irf(..., 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.

See also

posterior_provenance

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_irf(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    irf         ttr      ttr         0  0.105   0.0966  0.0178  0.0956
#> 2 m1    irf         ttr      ttr         1  0.101   0.123   0.0525  0.0304
#> 3 m1    irf         ttr      ttr         2  0.105   0.159   0.121  -0.0589
#> 4 m1    irf         ttr      ttr         3  0.116   0.206   0.193  -0.145 
#> 5 m1    irf         ttr      gs          0  0       0       0       0     
#> 6 m1    irf         ttr      gs          1 -0.0428 -0.00909 0.0718 -0.141 
#> # 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>