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Summarises posterior draws of forecast error variance decompositions

Source: R/tidy.R
tidy_fevd.Rd

Transforms posterior draws of forecast error variance decompositions into a table containing posterior means, medians, standard deviations, and equal-tailed credible intervals, or retains the individual draws when requested.

Usage

tidy_fevd(object, ...)

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

Arguments

object

A posterior model object or a PosteriorFEVD array.

...

Additional arguments passed to computation methods.

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)

# Posterior summaries of forecast error variance decompositions
result <- tidy_fevd(post, horizon = 3)
head(result)
#> # A tibble: 6 × 20
#>   model  object_type variable shock horizon    mean  median    sd   lower  upper
#>   <chr>  <chr>       <chr>    <chr>   <dbl>   <dbl>   <dbl> <dbl>   <dbl>  <dbl>
#> 1 model1 fevd        ttr      ttr         0 100     100     0     1   e+2 100   
#> 2 model1 fevd        ttr      ttr         1  98.9    99.3   0.742 9.79e+1  99.5 
#> 3 model1 fevd        ttr      ttr         2  97.2    97.6   1.96  9.47e+1  99.0 
#> 4 model1 fevd        ttr      ttr         3  95.0    95.1   3.28  9.12e+1  98.6 
#> 5 model1 fevd        ttr      gs          0   0       0     0     0         0   
#> 6 model1 fevd        ttr      gs          1   0.511   0.248 0.577 5.45e-2   1.29
#> # ℹ 10 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>