diff --git a/articles/bayesianVARs-vignette.pdf b/articles/bayesianVARs-vignette.pdf index 07bc721..cf69a9c 100644 Binary files a/articles/bayesianVARs-vignette.pdf and b/articles/bayesianVARs-vignette.pdf differ diff --git a/news/index.html b/news/index.html index 742e6f0..4c99ba2 100644 --- a/news/index.html +++ b/news/index.html @@ -38,6 +38,7 @@

bayesianVARs (development version)

bayesianVARs 0.1.3

CRAN release: 2024-06-25

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Examples#> #> Posterior median of reduced-form coefficients: #> GDPC1 CPIAUCSL FEDFUNDS -#> GDPC1.l1 0.234251 0.006679 1.613e-02 -#> CPIAUCSL.l1 -0.052490 0.609837 -2.106e-03 -#> FEDFUNDS.l1 0.008550 0.038264 1.001e+00 -#> intercept 0.005904 0.001249 -6.616e-05 +#> GDPC1.l1 0.236588 0.006926 2.109e-02 +#> CPIAUCSL.l1 -0.053390 0.616162 -3.646e-03 +#> FEDFUNDS.l1 0.007874 0.037088 1.001e+00 +#> intercept 0.005874 0.001291 -8.055e-05 #> #> Posterior interquartile range of of reduced-form coefficients: #> GDPC1 CPIAUCSL FEDFUNDS -#> GDPC1.l1 0.103406 0.0310374 0.0224336 -#> CPIAUCSL.l1 0.112489 0.0972602 0.0136029 -#> FEDFUNDS.l1 0.017590 0.0146875 0.0069129 -#> intercept 0.001103 0.0007549 0.0001674 +#> GDPC1.l1 0.089598 0.0290897 0.0252782 +#> CPIAUCSL.l1 0.111515 0.0904426 0.0150976 +#> FEDFUNDS.l1 0.018416 0.0141909 0.0076726 +#> intercept 0.001135 0.0007528 0.0001651

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Examples#> 'stable=TRUE': Calling 'stable_bvar()' to discard those posterior #> draws, that do not fulfill the stable criterion. #> -#> 526 stable posterior draws remaining for prediction! +#> 485 stable posterior draws remaining for prediction! # Visualize pairs(predictions, vars = 1:3, ahead = 1:3) diff --git a/reference/plot.bayesianVARs_bvar-1.png b/reference/plot.bayesianVARs_bvar-1.png index 6adbf14..4cd8aed 100644 Binary files a/reference/plot.bayesianVARs_bvar-1.png and b/reference/plot.bayesianVARs_bvar-1.png differ diff --git a/reference/plot.bayesianVARs_bvar.html b/reference/plot.bayesianVARs_bvar.html index 8d4f230..5512c90 100644 --- a/reference/plot.bayesianVARs_bvar.html +++ b/reference/plot.bayesianVARs_bvar.html @@ -110,7 +110,7 @@

Examples#> 'stable=TRUE': Calling 'stable_bvar()' to discard those posterior #> draws, that do not fulfill the stable criterion. #> -#> 428 stable posterior draws remaining for prediction! +#> 626 stable posterior draws remaining for prediction! # Visualize plot(mod, predictions = predictions) diff --git a/reference/plot.bayesianVARs_fitted-1.png b/reference/plot.bayesianVARs_fitted-1.png index e595d63..f637427 100644 Binary files a/reference/plot.bayesianVARs_fitted-1.png and b/reference/plot.bayesianVARs_fitted-1.png differ diff --git a/reference/plot.bayesianVARs_predict-1.png b/reference/plot.bayesianVARs_predict-1.png index d1d8b22..2a30422 100644 Binary files a/reference/plot.bayesianVARs_predict-1.png and b/reference/plot.bayesianVARs_predict-1.png differ diff --git a/reference/plot.bayesianVARs_predict.html b/reference/plot.bayesianVARs_predict.html index e75d183..2b4a7dc 100644 --- a/reference/plot.bayesianVARs_predict.html +++ b/reference/plot.bayesianVARs_predict.html @@ -121,7 +121,7 @@

Examples#> 'stable=TRUE': Calling 'stable_bvar()' to discard those posterior #> draws, that do not fulfill the stable criterion. #> -#> 433 stable posterior draws remaining for prediction! +#> 385 stable posterior draws remaining for prediction! # Visualize plot(predictions, vars = 1:3, ahead = 1:3) diff --git a/reference/posterior_heatmap-1.png b/reference/posterior_heatmap-1.png index 120e406..ed2d613 100644 Binary files a/reference/posterior_heatmap-1.png and b/reference/posterior_heatmap-1.png differ diff --git a/reference/posterior_heatmap-2.png b/reference/posterior_heatmap-2.png index c5a9e6d..a2b8625 100644 Binary files a/reference/posterior_heatmap-2.png and b/reference/posterior_heatmap-2.png differ diff --git a/reference/predict.bayesianVARs_bvar-1.png b/reference/predict.bayesianVARs_bvar-1.png index 86edb3d..2aa58e0 100644 Binary files a/reference/predict.bayesianVARs_bvar-1.png and b/reference/predict.bayesianVARs_bvar-1.png differ diff --git a/reference/predict.bayesianVARs_bvar.html b/reference/predict.bayesianVARs_bvar.html index 1b766f7..a9e8b8f 100644 --- a/reference/predict.bayesianVARs_bvar.html +++ b/reference/predict.bayesianVARs_bvar.html @@ -161,43 +161,43 @@

Examples#> 'stable=TRUE': Calling 'stable_bvar()' to discard those posterior #> draws, that do not fulfill the stable criterion. #> -#> 643 stable posterior draws remaining for prediction! +#> 617 stable posterior draws remaining for prediction! # Summary summary(predictions) #> #> LPL: #> t+1 t+2 t+3 t+4 -#> 2.718 8.556 8.419 6.221 +#> 5.114 9.665 9.092 6.526 #> #> Marginal univariate LPLs: -#> GDPC1 CPIAUCSL FEDFUNDS -#> t+1 -1.226 0.5816 3.554 -#> t+2 2.479 2.7464 3.248 -#> t+3 2.622 2.5796 3.081 -#> t+4 2.797 0.6113 2.936 +#> GDPC1 CPIAUCSL FEDFUNDS +#> t+1 -0.8729 0.4109 3.541 +#> t+2 2.8555 2.6739 3.391 +#> t+3 2.8363 2.4370 3.349 +#> t+4 2.8931 0.2959 3.326 #> #> Prediction quantiles: #> , , GDPC1 #> -#> t+1 t+2 t+3 t+4 -#> 5% -0.07047 -0.039599 -0.023225 -0.017323 -#> 50% -0.02556 -0.004664 0.003999 0.005908 -#> 95% 0.01933 0.030542 0.035271 0.027565 +#> t+1 t+2 t+3 t+4 +#> 5% -0.07875 -0.0329135 -0.021393 -0.011870 +#> 50% -0.01851 0.0009099 0.005688 0.006618 +#> 95% 0.03798 0.0429166 0.034118 0.024602 #> #> , , CPIAUCSL #> #> t+1 t+2 t+3 t+4 -#> 5% -0.019737 -0.019905 -0.018104 -0.0142483 -#> 50% -0.008343 -0.005330 -0.003288 -0.0008071 -#> 95% 0.003750 0.007712 0.009475 0.0122323 +#> 5% -0.018515 -0.017824 -0.015592 -0.0140807 +#> 50% -0.007656 -0.005287 -0.002413 -0.0005886 +#> 95% 0.002679 0.006747 0.009743 0.0106464 #> #> , , FEDFUNDS #> #> t+1 t+2 t+3 t+4 -#> 5% -0.021391 -0.031018 -0.045467 -0.050481 -#> 50% -0.004621 -0.005998 -0.006405 -0.007743 -#> 95% 0.012474 0.021421 0.032884 0.032841 +#> 5% -0.016214 -0.022544 -0.026463 -0.030055 +#> 50% -0.004527 -0.005249 -0.006258 -0.006404 +#> 95% 0.005912 0.011279 0.016238 0.018100 #> # Visualize via fan-charts @@ -211,10 +211,10 @@

Examples#> 'stable=TRUE': Calling 'stable_bvar()' to discard those posterior #> draws, that do not fulfill the stable criterion. #> -#> 643 stable posterior draws remaining for prediction! +#> 617 stable posterior draws remaining for prediction! predictions$LPL_VoI #> t+1 t+2 t+3 t+4 -#> 2.345726 5.790619 5.785145 5.795078 +#> 2.542386 6.712653 6.548112 6.391536 # } diff --git a/reference/print.bayesianVARs_predict.html b/reference/print.bayesianVARs_predict.html index 494eaaa..7c70ad6 100644 --- a/reference/print.bayesianVARs_predict.html +++ b/reference/print.bayesianVARs_predict.html @@ -81,7 +81,7 @@

Examples#> 'stable=TRUE': Calling 'stable_bvar()' to discard those posterior #> draws, that do not fulfill the stable criterion. #> -#> 723 stable posterior draws remaining for prediction! +#> 595 stable posterior draws remaining for prediction! print(predictions) #> #> Generic functions for bayesianVARs_predict objects: diff --git a/reference/print.summary.bayesianVARs_bvar.html b/reference/print.summary.bayesianVARs_bvar.html index 70768dc..960d2f4 100644 --- a/reference/print.summary.bayesianVARs_bvar.html +++ b/reference/print.summary.bayesianVARs_bvar.html @@ -77,17 +77,17 @@

Examples#> #> Posterior median of reduced-form coefficients: #> GDPC1 CPIAUCSL FEDFUNDS -#> GDPC1.l1 0.212473 0.006487 1.697e-02 -#> CPIAUCSL.l1 -0.032907 0.607315 -2.100e-03 -#> FEDFUNDS.l1 0.004907 0.037169 1.001e+00 -#> intercept 0.006025 0.001392 -5.789e-05 +#> GDPC1.l1 0.226152 0.00604 1.362e-02 +#> CPIAUCSL.l1 -0.063468 0.62045 -4.773e-03 +#> FEDFUNDS.l1 0.009492 0.03717 1.001e+00 +#> intercept 0.005959 0.00120 -4.555e-05 #> #> Posterior interquartile range of of reduced-form coefficients: -#> GDPC1 CPIAUCSL FEDFUNDS -#> GDPC1.l1 0.15327 0.0289077 0.0267194 -#> CPIAUCSL.l1 0.09095 0.0971672 0.0140055 -#> FEDFUNDS.l1 0.01419 0.0148861 0.0075846 -#> intercept 0.00157 0.0007101 0.0001965 +#> GDPC1 CPIAUCSL FEDFUNDS +#> GDPC1.l1 0.105445 0.0271618 0.0208810 +#> CPIAUCSL.l1 0.118059 0.0930382 0.0131568 +#> FEDFUNDS.l1 0.019176 0.0145773 0.0065391 +#> intercept 0.001173 0.0007342 0.0001668