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+ cpp wrapper of bsvars function + R method + doc + tests
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@@ -50,9 +50,72 @@ compute_structural_shocks.PosteriorBSVARSIGN <- function(posterior) { | |
| Y = posterior$last_draw$data_matrices$Y | ||
| X = posterior$last_draw$data_matrices$X | ||
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| ss = .Call(`_bsvarSIGNs_structural_shocks`, posterior_B, posterior_A, Y, X) | ||
| ss = .Call(`_bsvarSIGNs_bsvarSIGNs_structural_shocks`, posterior_B, posterior_A, Y, X) | ||
| class(ss) = "PosteriorShocks" | ||
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| return(ss) | ||
| } # END compute_structural_shocks.PosteriorBSVARSIGN | ||
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| #' @method compute_fitted_values PosteriorBSVARSIGN | ||
| #' | ||
| #' @title Computes posterior draws from data predictive density | ||
| #' | ||
| #' @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 data predictive density. | ||
| #' | ||
| #' @param posterior posterior estimation outcome - an object of class | ||
| #' \code{PosteriorBSVARSIGN} obtained by running the \code{estimate} function. | ||
| #' | ||
| #' @return An object of class \code{PosteriorFitted}, that is, an \code{NxTxS} | ||
| #' array with attribute \code{PosteriorFitted} containing \code{S} draws from | ||
| #' the data predictive density. | ||
| #' | ||
| #' @seealso \code{\link{estimate}}, \code{\link{summary}}, \code{\link{plot}} | ||
| #' | ||
| #' @author Xiaolei Wang \email{[email protected]} and Tomasz Woźniak \email{[email protected]} | ||
| #' | ||
| #' @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$new(oil, sign_irf = sign_irf) | ||
| #' | ||
| #' # run the burn-in | ||
| #' posterior = estimate(specification, 10) | ||
| #' | ||
| #' # compute draws from in-sample predictive density | ||
| #' fitted = compute_fitted_values(posterior) | ||
| #' | ||
| #' # workflow with the pipe |> | ||
| #' ############################################################ | ||
| #' set.seed(123) | ||
| #' oil |> | ||
| #' specify_bsvarSIGN$new(sign_irf = sign_irf) |> | ||
| #' estimate(S = 20) |> | ||
| #' compute_fitted_values() -> fitted | ||
| #' | ||
| #' @export | ||
| compute_fitted_values.PosteriorBSVARSIGN <- function(posterior) { | ||
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| posterior_A = posterior$posterior$A | ||
| posterior_B = posterior$posterior$B | ||
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| N = dim(posterior_A)[1] | ||
| T = dim(posterior$last_draw$data_matrices$X)[2] | ||
| S = dim(posterior_A)[3] | ||
| posterior_sigma = array(1, c(N, T, S)) | ||
| X = posterior$last_draw$data_matrices$X | ||
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| fv = .Call(`_bsvarSIGNs_bsvarSIGNs_fitted_values`, posterior_A, posterior_B, posterior_sigma, X) | ||
| class(fv) = "PosteriorFitted" | ||
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| return(fv) | ||
| } | ||
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| @@ -0,0 +1,29 @@ | ||
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| data(oil) | ||
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| set.seed(1) | ||
| suppressMessages( | ||
| specification_no1 <- specify_bsvarSIGN$new(oil) | ||
| ) | ||
| run_no1 <- estimate(specification_no1, 3, 1, show_progress = FALSE) | ||
| fv <- compute_fitted_values(run_no1) | ||
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| set.seed(1) | ||
| suppressMessages( | ||
| fv2 <- oil |> | ||
| specify_bsvarSIGN$new() |> | ||
| estimate(S = 3, thin = 1, show_progress = FALSE) |> | ||
| compute_fitted_values() | ||
| ) | ||
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| expect_true( | ||
| all(dim(fv) == dim(fv2)), | ||
| info = "compute_fitted_values: same output dimentions for normal and pipe workflow." | ||
| ) | ||
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| expect_identical( | ||
| fv[1,1,1], fv2[1,1,1], | ||
| info = "compute_fitted_values: identical for normal and pipe workflow." | ||
| ) |
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