Bayesian Time-Varying Regression for tidyfit

Fits a Bayesian time-varying regression on a 'tidyFit' R6 class. The function can be used with regress.

Usage

# S3 method for class 'tvp'
.fit(self, data = NULL)

Arguments

self: a 'tidyFit' R6 class.
data: a data frame, data frame extension (e.g. a tibble), or a lazy data frame (e.g. from dbplyr or dtplyr).

Value

A fitted 'tidyFit' class model.

Details

Hyperparameters:

None. Cross validation not applicable.

Important method arguments (passed to m)

mod_type
niter (number of MCMC iterations)

The function provides a wrapper for shrinkTVP::shrinkTVP. See ?shrinkTVP for more details.

Implementation

An argument index_col can be passed, which allows a custom index to be added to coef(m("tvp")) (e.g. a date index, see Examples).

References

Peter Knaus, Angela Bitto-Nemling, Annalisa Cadonna and Sylvia Frühwirth-Schnatter (2021). Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP. Journal of Statistical Software 100(13), 1–32. doi:10.18637/jss.v100.i13 .

Author

Johann Pfitzinger

Examples

# Load data
data <- tidyfit::Factor_Industry_Returns
data <- dplyr::filter(data, Industry == "HiTec")
data <- dplyr::select(data, -Industry)

# Within 'regress' function (using low niter for illustration)
fit <- regress(data, Return ~ ., m("tvp", niter = 50, index_col = "Date"))
tidyr::unnest(coef(fit), model_info)
#> # A tibble: 4,956 × 7
#> # Groups:   model [1]
#>    model term        estimate upper lower posterior.sd  index
#>    <chr> <chr>          <dbl> <dbl> <dbl>        <dbl>  <dbl>
#>  1 tvp   (Intercept)    0.617 0.930 0.280        0.249 196307
#>  2 tvp   (Intercept)    0.621 0.915 0.270        0.253 196308
#>  3 tvp   (Intercept)    0.627 0.927 0.286        0.246 196309
#>  4 tvp   (Intercept)    0.630 0.890 0.245        0.245 196310
#>  5 tvp   (Intercept)    0.618 0.898 0.190        0.258 196311
#>  6 tvp   (Intercept)    0.629 0.905 0.206        0.241 196312
#>  7 tvp   (Intercept)    0.651 0.932 0.300        0.240 196401
#>  8 tvp   (Intercept)    0.653 0.933 0.281        0.242 196402
#>  9 tvp   (Intercept)    0.642 0.937 0.301        0.250 196403
#> 10 tvp   (Intercept)    0.645 0.913 0.207        0.258 196404
#> # ℹ 4,946 more rows

Bayesian Time-Varying Regression for `tidyfit`