Rank shocks by event-window historical decomposition 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 tidy historical decomposition table.
start: First time index to include.
end: Last time index to include. Defaults to start.
variables: Optional variable filter.
models: Optional model filter.
ranking: One of "absolute" or "signed".
probability: Equal-tailed interval probability.
...: 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 × 14
#>   model object_type variable shock event_start event_end    mean   median     sd
#>   <chr> <chr>       <chr>    <chr> <chr>       <chr>       <dbl>    <dbl>  <dbl>
#> 1 mode… hd_event    gdp      gdp   1948.25     1948.5     1.24    1.39    1.02  
#> 2 mode… hd_event    gdp      ttr   1948.25     1948.5     0.184   0.201   0.215 
#> 3 mode… hd_event    gdp      gs    1948.25     1948.5    -0.0123 -0.0199  0.0418
#> 4 mode… hd_event    gs       gs    1948.25     1948.5    -0.0438  0.0790  0.252 
#> 5 mode… hd_event    gs       ttr   1948.25     1948.5    -0.0137 -0.00600 0.0695
#> 6 mode… hd_event    gs       gdp   1948.25     1948.5     0       0       0     
#> 7 mode… hd_event    ttr      ttr   1948.25     1948.5    -2.66   -2.96    0.853 
#> 8 mode… hd_event    ttr      gdp   1948.25     1948.5     0       0       0     
#> 9 mode… hd_event    ttr      gs    1948.25     1948.5     0       0       0     
#> # ℹ 5 more variables: lower <dbl>, upper <dbl>, ranking <chr>,
#> #   rank_score <dbl>, rank <int>