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Retrieve the structural parameter \(\boldsymbol{B}_0\) samples from an IRF object.

Source: R/irf.R
extractB0.Rd

Retrieve the structural parameter \(\boldsymbol{B}_0\) samples from an IRF object.

Usage

extractB0(x)

Arguments

x

a bayesianVARs_irf object

See also

specify_structural_restrictions

Author

Stefan Haan sthaan@edu.aau.at

Examples

train_data <- 100 * usmacro_growth[,c("GDPC1", "GDPCTPI", "GS1", "M2REAL", "CPIAUCSL")]
prior_sigma <- specify_prior_sigma(train_data, type="cholesky", cholesky_heteroscedastic=FALSE)
#> 
#> Since argument 'type' is specified with 'cholesky', all arguments starting with 'factor_' are being ignored.
#> 
#> Argument 'cholesky_priorhomoscedastic' not specified. Setting both shape and rate of inverse gamma prior equal to 0.01.
mod <- bvar(train_data, lags=5L, prior_sigma=prior_sigma, quiet=TRUE)

structural_restrictions <- specify_structural_restrictions(
 mod,
 restrictions_B0=rbind(
   c(1 ,NA,0 ,NA,NA),
   c(0 ,1 ,0 ,NA,NA),
   c(0 ,NA,1 ,NA,NA),
   c(0 ,0 ,NA,1 ,NA),
   c(0 ,0 ,0 ,0 ,1 )
 )
)
irf_structural <- irf(
 mod, ahead=8,
 structural_restrictions=structural_restrictions
)

B0 <- extractB0(irf_structural)

# Visually check that the restriction B0[1,1] >= 0 has been satisfied
hist(
 B0[1,1,],
 xlim=range(0, B0),
 main = paste0("Posterior B0[", 1, ",", 1,"]")
)
abline(v=0, col=2, lwd=2)