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Compare Marginal Likelihood

 

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Compare the marginal likelihood of DSGE-VARs for different choices of the λ hyperparameter and the DSGE model. You can choose between Geweke's modified harmonic mean estimator, the Chib and Jeliazkov (2001) estimator, the Sims, Waggoner and Zha (2008) estimator, and Sequential Monte Carlo under likelihood tempering (Herbst and Schorfheide, 2016) and data tempering (Durham and Geweke, 2014).

 

Additional Information

A more detailed description of marginal likelihood estimators is found in Section 8.4 (Sequential Monte Carlo), Section 8.5 (importance sampling), and Section 10 (MCMC based estimators) of the YADA Manual.

 

 


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