BGVAR (version 2.5.8)

vcov: Extract Variance-covariance Matrix of Bayesian GVAR

Description

Extracts the global variance-covariance matrix for bgvar for certain quantiles of the posterior distribution.

Usage

# S3 method for bgvar
vcov(object, ..., quantile = 0.5)

Value

Returns an q times K times K array of the global variance-covariance matrix, where q is the number of specified quantiles (this dimension is dropped if q=1) and K the number of endogenous variables.

Arguments

object

An object of class bgvar.

...

Additional arguments.

quantile

Reported quantiles. Default is set to median.

See Also

bgvar for estimation of a bgvar object.

Examples

# \donttest{
library(BGVAR)
data(testdata)
model.ng <- bgvar(Data=testdata,W=W.test,plag=1,draws=100,burnin=100)
vcov(model.ng)
# }