mean.SS: Summary measures and plots for MS-B(S)VAR state-spaces
Description
Provides a summary and plotting methods for the SS class
objects produced from sampling the posterior of an MSBVAR model.
These functions provide the mean regime probabilities and a plotting
method for them.
Usage
"mean"(x, ...)
"sum"(x, ...)
"plot"(x, ylab="State Probabilities", ...)
Arguments
x
SS class object produced by sampling the posterior of a
Markov-switching BVAR model in MSBVAR. These are produced by
gibbs.msbvar. ylab
y-axis label for the regime plot.
...
Other argument or graphics parameters for plot.
Value
Mean and sum are $T x h$ matrices for the first
two summary functions. The plot function generates a plot in the
current device. These are the posterior probability measures of the
Markov process regimes across $T$ periods.
Details
The first two provide the sum and mean of the number of
time periods in each state of Markov-process. The last produces a
time series plot of the regime or state probabilities. These are
computed from the Markov Chain Monte Carlo sample computed from
gibbs.msbvar