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included compute_impulse_responses #25
+ updated cpp function and... + moved it from bsvarTOOLs + R method + docu + tests
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@@ -118,4 +118,76 @@ compute_fitted_values.PosteriorBSVARSIGN <- function(posterior) { | |
| class(fv) = "PosteriorFitted" | ||
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| return(fv) | ||
| } | ||
| } # END compute_fitted_values.PosteriorBSVARSIGN | ||
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| #' @title Computes posterior draws of impulse responses | ||
| #' | ||
| #' @description Each of the draws from the posterior estimation of models from | ||
| #' packages \pkg{bsvars} or \pkg{bsvarSIGNs} is transformed into | ||
| #' a draw from the posterior distribution of the impulse responses. | ||
| #' | ||
| #' @method compute_impulse_responses PosteriorBSVARSIGN | ||
| #' | ||
| #' @param posterior posterior estimation outcome - an object of class | ||
| #' \code{PosteriorBSVARSIGN} obtained by running the \code{estimate} function. | ||
| #' @param horizon a positive integer number denoting the forecast horizon for the impulse responses computations. | ||
| #' @param standardise a logical value. If \code{TRUE}, the impulse responses are standardised | ||
| #' so that the variables' own shocks at horizon 0 are equal to 1. Otherwise, the parameter estimates | ||
| #' determine this magnitude. | ||
| #' | ||
| #' @return An object of class PosteriorIR, that is, an \code{NxNx(horizon+1)xS} array with attribute PosteriorIR | ||
| #' containing \code{S} draws of the impulse responses. | ||
| #' | ||
| #' @seealso \code{\link{estimate}}, \code{\link{summary}}, \code{\link{plot}} | ||
| #' | ||
| #' @author Xiaolei Wang \email{[email protected]} and Tomasz Woźniak \email{[email protected]} | ||
| #' | ||
| #' @references | ||
| #' Kilian, L., & Lütkepohl, H. (2017). Structural VAR Tools, Chapter 4, In: Structural vector autoregressive analysis. Cambridge University Press. | ||
| #' | ||
| #' @examples | ||
| #' # upload data | ||
| #' data(oil) | ||
| #' | ||
| #' # specify the model and set seed | ||
| #' set.seed(123) | ||
| #' sign_irf = array(matrix(c(-1, -1, 1, rep(0, 6)), nrow = 3), dim = c(3, 3, 1)) | ||
| #' specification = specify_bsvarSIGN$new(oil, sign_irf = sign_irf) | ||
| #' | ||
| #' # run the burn-in | ||
| #' posterior = estimate(specification, 10) | ||
| #' | ||
| #' # compute impulse responses 2 years ahead | ||
| #' irf = compute_impulse_responses(posterior, horizon = 8) | ||
| #' | ||
| #' # workflow with the pipe |> | ||
| #' ############################################################ | ||
| #' set.seed(123) | ||
| #' oil |> | ||
| #' specify_bsvarSIGN$new(sign_irf = sign_irf) |> | ||
| #' estimate(S = 10) |> | ||
| #' compute_impulse_responses(horizon = 8) -> ir | ||
| #' | ||
| #' | ||
| #' @export | ||
| compute_impulse_responses.PosteriorBSVARSIGN <- function(posterior, horizon, standardise = FALSE) { | ||
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| posterior_Theta0 = posterior$posterior$Theta0 | ||
| posterior_A = posterior$posterior$A | ||
| posterior_A = aperm(posterior_A, c(2, 1, 3)) | ||
| N = dim(posterior_A)[2] | ||
| p = posterior$last_draw$p | ||
| S = dim(posterior_A)[3] | ||
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| qqq = .Call(`_bsvarSIGNs_bsvarSIGNs_ir`, posterior_A, posterior_Theta0, horizon, p, standardise) | ||
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| irfs = array(NA, c(N, N, horizon + 1, S)) | ||
| for (s in 1:S) irfs[,,,s] = qqq[s][[1]] | ||
| class(irfs) = "PosteriorIR" | ||
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| return(irfs) | ||
| } # END compute_impulse_responses.PosteriorBSVARSIGN | ||
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| @@ -0,0 +1,62 @@ | ||
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| data(oil) | ||
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| set.seed(1) | ||
| suppressMessages( | ||
| specification_no1 <- specify_bsvarSIGN$new(oil) | ||
| ) | ||
| run_no1 <- estimate(specification_no1, 3, 1, show_progress = FALSE) | ||
| irf <- compute_impulse_responses(run_no1, horizon = 2) | ||
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| set.seed(1) | ||
| suppressMessages( | ||
| irf2 <- oil |> | ||
| specify_bsvarSIGN$new() |> | ||
| estimate(S = 3, thin = 1, show_progress = FALSE) |> | ||
| compute_impulse_responses(horizon = 2) | ||
| ) | ||
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| expect_error( | ||
| compute_impulse_responses(run_no1), | ||
| info = "compute_impulse_responses: specify horizon." | ||
| ) | ||
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| expect_identical( | ||
| irf[3,3,3,3], irf2[3,3,3,3], | ||
| info = "compute_impulse_responses: identical for normal and pipe workflow." | ||
| ) | ||
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| set.seed(1) | ||
| suppressMessages( | ||
| specification_no1 <- specify_bsvarSIGN$new(oil) | ||
| ) | ||
| run_no1 <- estimate(specification_no1, 3, 1, show_progress = FALSE) | ||
| irf <- compute_impulse_responses(run_no1, horizon = 2, standardise = TRUE) | ||
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| set.seed(1) | ||
| suppressMessages( | ||
| irf2 <- oil |> | ||
| specify_bsvarSIGN$new() |> | ||
| estimate(S = 3, thin = 1, show_progress = FALSE) |> | ||
| compute_impulse_responses(horizon = 2, standardise = TRUE) | ||
| ) | ||
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| expect_equal( | ||
| irf[1,1,1,1], 1, | ||
| info = "compute_impulse_responses: unit own shock at 0 horizon." | ||
| ) | ||
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| expect_error( | ||
| compute_impulse_responses(run_no1), | ||
| info = "compute_impulse_responses: specify horizon." | ||
| ) | ||
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| expect_identical( | ||
| irf[3,3,3,3], irf2[3,3,3,3], | ||
| info = "compute_impulse_responses: identical for normal and pipe workflow." | ||
| ) | ||
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