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Summarises posterior draws of impulse responses

Source: R/tidy.R
tidy_irf.Rd

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

Usage

tidy_irf(object, ...)

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

# S3 method for class 'PosteriorBSVAR'
tidy_irf(
  object,
  horizon = NULL,
  probability = 0.9,
  draws = FALSE,
  model = "model1",
  ...
)

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

Probability mass of the equal-tailed credible interval.

draws

If TRUE, report individual posterior draws rather than posterior summaries.

model

Label identifying the model 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.

See also

posterior_provenance

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 impulse responses
result <- tidy_irf(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 irf         ttr      ttr         0  0.132  0.125 0.0161  0.121  0.155
#> 2 model1 irf         ttr      ttr         1  0.240  0.230 0.0287  0.219  0.278
#> 3 model1 irf         ttr      ttr         2  0.367  0.372 0.0189  0.344  0.387
#> 4 model1 irf         ttr      ttr         3  0.516  0.515 0.0723  0.427  0.594
#> 5 model1 irf         ttr      gs          0  0      0     0       0      0    
#> 6 model1 irf         ttr      gs          1 -0.217 -0.165 0.115  -0.374 -0.157
#> # 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>