BVAR (version 0.2.2)

companion.bvar: Retrieve companion matrix from a Bayesian VAR

Description

Calculates the companion matrix for Bayesian VARs generated via bvar.

Usage

# S3 method for bvar
companion(object, conf_bands = 0.5, complete = FALSE, ...)
companion(object, ...)

Arguments

object

A bvar object, obtained from bvar.

conf_bands

Numeric vector of desired confidence bands to apply. E.g. for bands at 5%, 10%, 90% and 95% set this to c(0.05, 0.1). Note that the median, i.e. 0.5 is always included.

complete

Logical value. Whether to retrieve the companion matrix for all saved draws of the VAR coefficients. Overrides conf_bands if set TRUE.

...

Not used.

Value

Returns a numeric array/matrix of class bvar_comp with the VAR's coefficents in companion form, at the specified confidence bands.

See Also

bvar; coef

Examples

# NOT RUN {
data <- matrix(rnorm(200), ncol = 2)
x <- bvar(data, lags = 2)

# Get companion matrices for confidence bands at to 10%, 50% and 90%
companion(x, conf_bands = 0.10, complete = FALSE)

# Get companion matrices for all draws of the VAR coefficients
companion(x, complete = TRUE)
# }