Credible intervals for a copregbayes fit

Posterior credible intervals, taken directly as quantiles of the retained draws in object$draws – not a normal approximation to them, and no asymptotic argument is involved anywhere.

Usage

# S3 method for class 'copregbayes'
confint(object, parm, level = 0.95, ...)

Arguments

object

An object of class "copregbayes", as returned by CopRegBAYES.

parm

Optional character or integer vector selecting which parameters (columns of object$draws) to return intervals for. If missing, all parameters are returned.

level

Credible level, e.g. 0.95 for a 95% interval. Defaults to 0.95.

...

Not used; present for S3 method consistency.

Value

A numeric matrix with one row per parameter and two columns, the lower and upper quantiles of the posterior draws at the requested credible level.

References

Haschka, R. E. (2025). Bayesian inference for joint estimation models using copulas to handle endogenous regressors. Oxford Bulletin of Economics and Statistics. doi:10.1111/obes.70023

Examples

set.seed(1)
n <- 60
x <- rnorm(n); z <- x + rnorm(n); y <- 1 + z + x + rnorm(n)
fit <- CopRegBAYES(y ~ z | x, data = data.frame(y, z, x),
                    iterations = 200, burnin = 50, thin = 5, verbose = FALSE)
confint(fit, level = 0.9)
#>                       5%        95%
#> (Intercept)   0.58081263 1.08908201
#> z             0.80466858 2.35495730
#> x            -0.03377693 1.14262702
#> sigma2        1.00784023 3.39397825
#> rho(z*, x*)   0.39537919 0.62547322
#> rho(z*, xi*) -0.68733513 0.05093047