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ankargren / mfbvar

R package for Mixed-Frequency Bayesian VARs
https://ankargren.github.io/mfbvar
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Error in calculating mdd for bivariate MF-BVAR models #23

Open sunyoung73ji opened 6 months ago

sunyoung73ji commented 6 months ago

Hello! :) I'm currently having difficulty calculating the MDD for bivariate MF-BVAR models. I have six monthly indicators and quarterly hpi data. I want to compute the MDD for the bivariate MF-BVAR models between hpi and each indicator, but I keep encountering the following error:

'Error in apply(Y[, freq == "m"], 2, is.na) : dim(X) must have a positive length value'

However, there seems to be no issue when calculating the MDD for multivariate models with two or more indicators along with hpi. Please look at the following code. When I add only one indicator to mflist, I encounter the error, but with two or more, I can obtain the MDD.


mflist <- list()
#mflist[['dax']] <- ts(dax, start = c(2007, 4), frequency = 12)
mflist[['cpi']] <- ts(cpi, start = c(2007, 4), frequency = 12)
mflist[['hpi']] <- ts(hpi, start = c(2007, 2), frequency = 4)

c_interval <- t(sapply(mflist, CI, ci=0.95))
prior_intervals <- c_interval[,c('upper','lower')]
moments <- interval_to_moments(prior_intervals)

prior <- set_prior(Y = mflist, n_lags = 5, n_reps = 1000,
                   d = 'intercept',
                   prior_psi_mean = moments$prior_psi_mean,
                   prior_psi_Omega = moments$prior_psi_Omega,
                   n_fcst = 24,
                   aggregation = "average") # forecast 24 months ahead

mfbvar <- estimate_mfbvar(prior, prior = 'ss', variance = 'iw')
mdd(mfbvar)

Could you please advise me to solve this problem? Thank you in advance!

you can find the data here (all variables are log-differenced):

dax <- c(
  0.0210208714, 0.0115995430, 0.0381296902, 0.0351225865, -0.0841469730,
  0.0220691589, 0.0308116863, -0.0073562701, 0.0077104509, -0.0459201627,
  -0.0314345640, -0.0481828142, 0.0155563311, -0.0023364747, -0.0481093988,
  -0.0286984452, -0.0114323500, -0.0461231012, -0.2237445071, -0.0325402685,
  -0.0261829952, -0.0014145884, -0.0326075965, -0.0487289541, 0.0756980526,
  0.0592410660, 0.0132207689, 0.0268199289, 0.0656594330, 0.0345225028,
  0.0124849128, 0.0099508413, 0.0174303621, 0.0166116769, -0.0234752993,
  0.0748180864, 0.0159662680, -0.0637937051, 0.0288340481, 0.0143127967,
  -0.0059073927, 0.0149225240, 0.0344798460, 0.0591198871, 0.0227186615,
  0.0043557414, 0.0561068704, -0.0333309675, 0.0017759685, 0.0097389527,
  -0.0123045357, 0.0327373718, -0.2159789815, -0.0952049924, 0.0945431298,
  -0.0073821309, -0.0034890913, 0.0574219378, 0.0881430114, 0.0349949609,
  -0.0572929921, -0.0493798744, -0.0246701275, 0.0680222600, 0.0621511758,
  0.0378666621, 0.0156350968, -0.0098531667, 0.0374203248, 0.0095248564,
  -0.0098939220, 0.0234584489, -0.0149767762, 0.0621947538, -0.0139142225,
  0.0190843686, 0.0283291709, 0.0093335020, 0.0571496195, 0.0321556778,
  -0.0027477093, 0.0195940364, -0.0057543323, -0.0146085884, -0.0043199380,
  0.0262817185, 0.0391677100, -0.0079347873, -0.0403590293, 0.0289933544,
  -0.0499589327, 0.0463717964, 0.0238067003, 0.0241594997, 0.0765136917,
  0.0598505336, 0.0119315556, -0.0362173873, -0.0162724983, 0.0153410130,
  -0.0321038514, -0.0913114716, 0.0476930801, 0.0624628994, -0.0368554257,
  -0.0891720669, -0.0568994080, 0.0350455169, 0.0314633701, -0.0171441862,
  -0.0004348846, 0.0179361453, 0.0685333809, -0.0068587704, 0.0264498673,
  -0.0121363892, 0.0545530364, 0.0272918596, 0.0143335355, 0.0173963116,
  -0.0049331592, 0.0348151634, 0.0153386638, -0.0183995600, -0.0092490162,
  0.0267016887, 0.0538651073, 0.0038792781, -0.0063155933, 0.0039217185,
  -0.0548846076, -0.0478017377, 0.0320240414, 0.0223966039, -0.0111506395,
  -0.0007542676, 0.0006210201, -0.0167319416, -0.0358246677, -0.0359814330,
  -0.0442273980, -0.0028575609, 0.0406223103, 0.0212661309, 0.0209506824,
  -0.0010267499, 0.0113181025, 0.0270988242, -0.0491369052, 0.0585968602,
  0.0323549090, 0.0344937681, 0.0027843113, -0.0052160232, 0.0079563961,
  -0.2787368261, 0.0068759905, 0.0589472742, 0.1155108035, 0.0420819034,
  0.0188796295, 0.0229869591, -0.0111888030, 0.0007493698, 0.0359441134,
  0.0075967103, 0.0169345350, 0.0426524623, 0.0415879580, -0.0020845684,
  0.0224927419, 0.0066952210, 0.0204241553, 0.0071960154, 0.0102541827,
  0.0012938153, -0.0285036834, -0.0134725997, -0.0382911232, -0.0553133867,
  -0.0165786834, -0.0058413403, -0.0256364714, -0.0343558319, 0.0402412489,
  -0.0342980225, 0.0219169677, 0.0683298694, -0.0039444074, 0.0206153023,
  0.0389949378, 0.0129467612, 0.0072029141, 0.0169598725, 0.0113985958,
  0.0160833066, -0.0116375298, 0.0124148770, -0.0138123623, 0.0004151994,
  0.0517433830
)

cpi <- c(
  3.421949e-03, 1.285583e-04, 2.200683e-04, 2.991822e-03, 7.573014e-04,
  2.882468e-03, 3.502666e-03, 7.971361e-03, 1.180742e-03, 1.551776e-03,
  1.997345e-03, 1.076072e-03, 1.440401e-03, 3.624166e-03, 2.418888e-03,
  4.514742e-03, -2.091488e-03, 2.062724e-03, -1.282320e-03, -2.439978e-03,
  -2.411692e-03, 5.083342e-04, 2.748292e-03, -3.233075e-03, 3.383509e-05,
  3.871869e-04, 2.521607e-03, -6.462024e-04, 2.869723e-03, -2.125515e-03,
  1.890191e-03, 7.507979e-04, 3.539148e-03, -6.090657e-04, 3.470256e-05,
  2.908550e-03, 7.117895e-04, 8.491295e-04, -4.556957e-04, 5.658585e-04,
  1.288805e-03, 1.023589e-03, 1.843402e-03, 2.591125e-03, 3.102646e-03,
  1.528623e-03, 2.816665e-03, 2.929426e-03, 9.237205e-04, 1.215559e-03,
  1.070699e-03, 1.136561e-03, 1.273823e-03, 2.645859e-03, 2.080522e-03,
  1.965247e-03, -4.774183e-04, 3.893266e-03, 2.315451e-03, 3.331489e-03,
  -2.275364e-04, 5.761129e-05, -1.107425e-03, 1.441564e-03, 4.656634e-03,
  1.885799e-03, 1.547217e-03, 8.275479e-04, 1.204143e-03, 1.233706e-03,
  1.096041e-03, 1.760404e-04, 6.295074e-04, 2.566338e-03, 8.913336e-04,
  1.890254e-03, 4.298011e-04, 5.181289e-04, -1.050205e-04, 3.360305e-03,
  2.593154e-03, -1.296685e-05, 1.384176e-03, -1.181841e-04, -1.565062e-03,
  -1.148653e-03, 1.708177e-03, 5.810279e-04, 6.233925e-04, 4.093822e-04,
  -1.236961e-04, 2.383374e-03, -2.503684e-03, -2.728707e-03, 4.003980e-03,
  2.704227e-03, 2.349644e-03, 1.538716e-03, -4.788312e-04, -4.906213e-04,
  -2.187303e-04, -5.964867e-04, 1.753494e-03, -2.751741e-03, -1.349025e-03,
  -4.280035e-04, 7.091174e-05, 1.372278e-03, 2.542391e-03, 2.293922e-03,
  3.616350e-04, 6.641572e-04, -2.726073e-05, 1.443233e-03, 2.435285e-03,
  -1.530154e-03, 4.911365e-03, 1.579289e-03, 2.421390e-03, -5.893851e-04,
  4.013436e-04, -5.923769e-04, 2.159205e-03, 1.672468e-03, 2.115565e-03,
  4.606171e-04, 2.941810e-04, 1.086921e-03, 2.774866e-03, 1.099364e-03,
  6.454277e-04, 1.019935e-04, 3.835245e-03, 4.410956e-03, 4.259166e-06,
  1.610113e-03, 2.268797e-03, 2.550036e-03, 2.021839e-03, -9.038428e-04,
  -8.281639e-04, -2.824342e-03, 1.618694e-03, 1.237922e-03, 5.673914e-03,
  1.857255e-03, 2.090041e-03, 1.554950e-03, 5.375420e-04, 8.030342e-04,
  5.740253e-04, -2.494418e-03, 5.020574e-03, 2.091625e-03, 7.367329e-05,
  -6.760454e-04, -1.517710e-03, -8.850859e-05, 4.551716e-04, -1.012598e-02,
  1.647796e-03, 1.001611e-03, 1.894510e-03, 1.809671e-03, 1.787169e-03,
  1.524509e-02, 2.211461e-03, 2.511909e-03, 1.080568e-03, 2.168796e-03,
  2.630533e-03, 3.310471e-03, 2.376406e-03, 3.785229e-03, 4.410583e-03,
  5.388374e-03, 3.068107e-03, 7.467588e-03, 3.379116e-03, 1.739787e-02,
  4.947693e-03, 9.477781e-03, 8.622562e-05, 3.713700e-03, 4.426699e-03,
  1.851200e-02, 6.657766e-03, 5.458855e-03, -3.487605e-03, 1.232332e-02,
  3.550463e-03, 5.455758e-03, 2.685571e-03, -2.670526e-04, 2.885344e-03,
  2.159832e-03, 3.698031e-03, 2.804774e-03, -1.138347e-04, -1.170011e-04,
  1.398571e-03
)

hpi <- c(
  0.0124269344, 0.0088300796, -0.0002018073, 0.0133747834, -0.0048233605,
  -0.0085420567, 0.0023566688, -0.0011841842, 0.0079377284, 0.0064045986,
  0.0151997196, -0.0146145343, 0.0079479453, 0.0077010990, -0.0063140169,
  0.0266969274, 0.0051661362, 0.0017115265, 0.0072166719, 0.0082802480,
  0.0056757617, 0.0199374049, 0.0144094497, -0.0018981385, 0.0117352675,
  0.0025052690, 0.0027258812, 0.0104599969, 0.0120312830, 0.0094239188,
  0.0013957864, 0.0192994879, 0.0135535040, 0.0079902690, 0.0149033884,
  0.0245509578, 0.0211521489, 0.0195009654, 0.0146492295, 0.0101684094,
  0.0136256149, 0.0164957674, 0.0186893511, 0.0164634222, 0.0139835354,
  0.0183855857, 0.0101490479, 0.0099244680, 0.0208371406, 0.0098212484,
  0.0214134931, 0.0199084792, 0.0130957151, 0.0243937483, 0.0259963127,
  0.0262438352, 0.0321042819, 0.0352908028, 0.0249990799, 0.0179931139,
  0.0134833329, -0.0134818450, -0.0542328104, -0.0159266229, -0.0176073777,
  -0.0189710228, -0.0215395656
)