Simultaneous posterior bands for impulse responses — simultaneous

Construct simultaneous bands over a selected set of impulse responses using the empirical sup-norm around the posterior median path.

Usage

simultaneous_irf(object, ...)

# Default S3 method
simultaneous_irf(object, ...)

# S3 method for class 'PosteriorIR'
simultaneous_irf(
  object,
  probability = 0.9,
  variables = NULL,
  shocks = NULL,
  variable = NULL,
  shock = NULL,
  model = "model1",
  ...
)

# S3 method for class 'PosteriorBSVAR'
simultaneous_irf(
  object,
  horizon = NULL,
  probability = 0.9,
  variables = NULL,
  shocks = NULL,
  variable = NULL,
  shock = NULL,
  model = "model1",
  ...
)

# S3 method for class 'PosteriorBSVARMIX'
simultaneous_irf(
  object,
  horizon = NULL,
  probability = 0.9,
  variables = NULL,
  shocks = NULL,
  variable = NULL,
  shock = NULL,
  model = "model1",
  ...
)

# S3 method for class 'PosteriorBSVARMSH'
simultaneous_irf(
  object,
  horizon = NULL,
  probability = 0.9,
  variables = NULL,
  shocks = NULL,
  variable = NULL,
  shock = NULL,
  model = "model1",
  ...
)

# S3 method for class 'PosteriorBSVARSV'
simultaneous_irf(
  object,
  horizon = NULL,
  probability = 0.9,
  variables = NULL,
  shocks = NULL,
  variable = NULL,
  shock = NULL,
  model = "model1",
  ...
)

# S3 method for class 'PosteriorBSVART'
simultaneous_irf(
  object,
  horizon = NULL,
  probability = 0.9,
  variables = NULL,
  shocks = NULL,
  variable = NULL,
  shock = NULL,
  model = "model1",
  ...
)

# S3 method for class 'PosteriorBSVARSIGN'
simultaneous_irf(
  object,
  horizon = NULL,
  probability = 0.9,
  variables = NULL,
  shocks = NULL,
  variable = NULL,
  shock = NULL,
  model = "model1",
  ...
)

Arguments

object: A posterior model object or a PosteriorIR object.
...: Additional arguments passed to computation methods.
probability: Coverage probability for the simultaneous band.
variables: Optional response-variable subset (character or integer vector).
shocks: Optional shock subset (character or integer vector).
variable: Deprecated. Use variables instead.
shock: Deprecated. Use shocks instead.
model: Optional model identifier.
horizon: Maximum horizon used when object is a posterior model object.

Value

A bsvar_post_tbl with columns model, object_type, variable, shock, horizon, median, lower, upper, simultaneous_prob, and critical_value.

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)

sb <- simultaneous_irf(post, horizon = 3)
head(sb)
#> # A tibble: 6 × 10
#>   model  object_type      variable shock horizon  median  lower upper
#>   <chr>  <chr>            <chr>    <chr>   <dbl>   <dbl>  <dbl> <dbl>
#> 1 model1 simultaneous_irf ttr      ttr         0 0.0346  -0.301 0.370
#> 2 model1 simultaneous_irf gs       ttr         0 0.0211  -0.315 0.357
#> 3 model1 simultaneous_irf gdp      ttr         0 0.00933 -0.326 0.345
#> 4 model1 simultaneous_irf ttr      gs          0 0       -0.336 0.336
#> 5 model1 simultaneous_irf gs       gs          0 0.0939  -0.242 0.430
#> 6 model1 simultaneous_irf gdp      gs          0 0.0122  -0.324 0.348
#> # ℹ 2 more variables: simultaneous_prob <dbl>, critical_value <dbl>