Ranks structural shocks by contributions over selected periods

Summarises posterior historical decompositions over a selected period and ranks structural shocks by the absolute or signed magnitude of their contributions.

Usage

shock_ranking(
  object,
  start,
  end = start,
  variables = NULL,
  models = NULL,
  ranking = c("absolute", "signed"),
  probability = 0.9,
  ...
)

Arguments

object

A posterior model object, PosteriorHD, or a posterior-summary table of historical decompositions.

start

First time index to include.

end

Last time index to include. Defaults to start.

variables

Variables whose historical decompositions are included.

models

Model specifications to include.

ranking

One of "absolute" or "signed".

probability

Probability mass of the equal-tailed credible interval.

...

Additional arguments passed to tidy_hd_event().

Value

A bsvar_post_tbl with columns model, object_type, variable, shock, event_start, event_end, median, mean, sd, lower, upper, ranking, rank_score, and rank.

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)

sr <- shock_ranking(post, start = "1948.25", end = "1948.5")
print(sr)
#> # A tibble: 9 × 24
#>   model  object_type   variable shock    mean   median    sd    lower  upper
#>   <chr>  <chr>         <chr>    <chr>   <dbl>    <dbl> <dbl>    <dbl>  <dbl>
#> 1 model1 shock_ranking ttr      ttr   -4.95   -4.52    5.32  -11.0     0.217
#> 2 model1 shock_ranking ttr      gdp    0.143   0.0262  0.416  -0.187   0.702
#> 3 model1 shock_ranking ttr      gs     0.0722 -0.00858 0.243  -0.0832  0.402
#> 4 model1 shock_ranking gs       gs    -1.21   -1.29    0.937  -2.25   -0.220
#> 5 model1 shock_ranking gs       gdp    0.474   0.0187  1.03   -0.0165  1.86 
#> 6 model1 shock_ranking gs       ttr    0.157   0.00902 0.412  -0.255   0.662
#> 7 model1 shock_ranking gdp      gdp   -0.766  -1.48    2.24   -3.05    2.04 
#> 8 model1 shock_ranking gdp      ttr   -3.21   -1.36    3.52   -7.99   -0.489
#> 9 model1 shock_ranking gdp      gs     0.730   0.0448  2.82   -1.60    4.44 
#> # ℹ 15 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>,
#> #   event_start <chr>, event_end <chr>, ranking <chr>, rank_score <dbl>,
#> #   rank <int>