Extract Variance-covariance Matrix of Bayesian GVAR
Extracts the global variance-covariance matrix for bgvar for certain quantiles of the posterior distribution.
## S3 method for class 'bgvar' vcov(object, ..., quantile = 0.5)
object |
an object of class |
... |
additional arguments. |
quantile |
reported quantiles. Default is set to median. |
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.
library(BGVAR) data(eerDatasmall) model.ng <- bgvar(Data=eerDatasmall,W=W.trade0012.small,plag=1,draws=100,burnin=100) vcov(model.ng)
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