Tidy cumulative dynamic multipliers

Usage

tidy_cdm(object, ...)

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

# S3 method for class 'PosteriorBSVAR'
tidy_cdm(
  object,
  horizon = NULL,
  probability = 0.9,
  draws = FALSE,
  model = "model1",
  scale_by = c("none", "shock_sd"),
  scale_var = NULL,
  ...
)

Arguments

object: A posterior model object or posterior IRF array.
...: Additional arguments passed to computation methods.
horizon: Forecast horizon when object is a posterior model object.
probability: Equal-tailed interval probability.
draws: If TRUE, return draw-level rows.
model: Optional model identifier.
scale_by: Optional scaling mode for CDMs.
scale_var: Optional scaling variable specification.

Value

A bsvar_post_tbl (tibble subclass) with columns model, object_type, variable, shock, horizon, mean, median, sd, lower, and upper. When draws = TRUE, columns draw and value replace the summary statistics.

Examples

# Small posterior (S = 5 draws)
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)

# Tidy cumulative dynamic multipliers
result <- tidy_cdm(post, horizon = 3)
head(result)
#> # A tibble: 6 × 10
#>   model  object_type variable shock horizon    mean     median      sd     lower
#>   <chr>  <chr>       <chr>    <chr>   <dbl>   <dbl>      <dbl>   <dbl>     <dbl>
#> 1 model1 cdm         ttr      ttr         0 0.0374   0.0311    0.0172   0.0276  
#> 2 model1 cdm         ttr      ttr         1 0.0768   0.0593    0.0417   0.0539  
#> 3 model1 cdm         ttr      ttr         2 0.117    0.0849    0.0713   0.0790  
#> 4 model1 cdm         ttr      ttr         3 0.159    0.109     0.104    0.103   
#> 5 model1 cdm         ttr      gs          0 0        0         0        0       
#> 6 model1 cdm         ttr      gs          1 0.00376 -0.0000791 0.00912 -0.000996
#> # ℹ 1 more variable: upper <dbl>