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nk027 / bvar

Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015). Allows for the computation of impulse responses and forecasts and provides functionality for assessing results.
https://cran.r-project.org/package=BVAR
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Significance test of BVAR coefficient #69

Closed hp1819 closed 3 years ago

hp1819 commented 3 years ago

Hi, nk027

How to obtain the significance test of the BVAR coefficient？ x <- bvar(p_post_two , lags = 8, n_draw = 20000L, n_burn = 5000L, verbose = FALSE) summary(x) or coef(x) can't obtain

nk027 commented 3 years ago

Hey, I'm not sure what you mean -- it's a Bayesian model and you can get the full posterior of the coefficients. The functions allow you to calculate intervals of the posterior of you want to check overlap with zero.