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Simulate fitted/predicted historical values for an estimated VAR model

Source: R/utility_functions.R
fitted.bayesianVARs_bvar.Rd

Simulates the fitted/predicted (in-sample) values for an estimated VAR model.

Usage

# S3 method for class 'bayesianVARs_bvar'
fitted(object, error_term = TRUE, ...)

Arguments

object

A bayesianVARs_bvar object estimated via bvar().

error_term

logical indicating whether to include the error term or not.

...

Currently ignored.

Value

An object of class bayesianVARs_fitted.

Examples

# Access a subset of the usmacro_growth dataset
data <- usmacro_growth[,c("GDPC1", "CPIAUCSL", "FEDFUNDS")]

# Estimate a model
mod <- bvar(data, sv_keep = "all", quiet = TRUE)

# Simulate predicted historical values including the error term.
pred <- fitted(mod, error_term = TRUE)

# Simulate fitted historical values not including the error term.
fit <- fitted(mod, error_term = FALSE)

# Visualize
plot(pred)

plot(fit)