StochasticVolatilitySVARResult#

class cultivars.multivariate.structural.stochastic_volatility.StochasticVolatilitySVARResult(*, source, impact_draws, h_draws, phi_draws, sigma2_draws, shock_names, relabel_rate, restriction, n_draws, n_burn, thin)[source]

Bases: _SummaryMixin, _ConvergenceMixin

The posterior of a stochastic-volatility identification.

Variables:

  • source – The reduced-form result identified.

  • impact_draws – (S, k, k) posterior draws of the impact matrix, already relabelled to one order and sign convention.

  • h_draws – (S, T, k) posterior draws of the structural log variances, zero sample mean per shock.

  • phi_draws – (S, k) draws of each shock’s log-variance persistence.

  • sigma2_draws – (S, k) draws of each shock’s log-variance innovation variance.

  • shock_names – One label per shock column.

  • relabel_rate – Fraction of kept draws whose columns had to be permuted to match the reference labelling.

  • restriction – The identifying assumption, stated.

  • n_draws – Total sampler iterations.

  • n_burn – Burn-in discarded.

  • thin – Post-burn thinning.

Private methods#

_column(shock)

Resolve a shock label or index to a column.

_diagnostics()

Identification diagnostics shared by the summary and the point result.

_from_fit(fit, model)

Assemble the public result from a raw fit and its specification.

_summary_table()

Build the structured summary.
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