Marginal Likelihood of BVAR

Questions and discussions on Vector Autoregressions
jonasdovern
Posts: 97
Joined: Sat Apr 11, 2009 10:30 am

Marginal Likelihood of BVAR

Unread post by jonasdovern »

Hallo,

a follow up on my previous post (thanks for the answer to that): I am struggling with the computation of the marginal likelihood of my BVAR (that I need to compare different specifications of the BVAR). In the course manual for the course on Bayesian Econometrics there is one example how to compute that for a univariate linear model (Example 3.2). My problems with transferring this example to the multivariate case start already with the calculation of the multivariate gamma-distribution term. How can that be done in RATS?

So, if I have OLS estimates for my VAR obtained by

Code: Select all

* Estimate VAR by OLS
system(model=olsmodel)
	variables varlist
	lags 1 to l
	kfset xxx
	det detlist
end(system)
estimate(noprint) start end
and extract all relevant information for the next steps and compute the prior and its precision by

Code: Select all

dim olssee(nvar)
ewise olssee(i) = sqrt(%sigma(i,i))
comp sigma = %sigma
comp xx = inv(xxx)
comp bhat = %vec(%modelgetcoeffs(olsmodel))
*
*** Create the prior mean and (square root of) precision
if %defined(mvector) {
	comp lmvector = mvector
}
else {
	dim lmvector(nvar)
	ewise lmvector(i) = 1.
}
dim minnmean(l*nvar+%rows(detlist),nvar) minnprec(l*nvar+%rows(detlist),nvar) bmean(nvar*(l*nvar+%rows(detlist))) bdiff(nvar*(l*nvar+%rows(detlist))) ux(nvar*(l*nvar+%rows(detlist)))
do i=1,nvar
	do j=1,nvar
		do k=1,l
			comp minnmean((j-1)*l+k,i)= %if(i==j.and.k==1,lmvector(j),0)
			comp minnprec((j-1)*l+k,i)= olssee(j)/olssee(i)*%if(i==j,1.0/tight,1.0/(other*tight))
		end do k
	end do j
	do j=1,%rows(detlist)
	        comp minnmean(l*nvar+j,i)=0.0,minnprec(l*nvar+j,i)=0.0
	end do j
end do i
*
ewise minnprec(i,j)=minnprec(i,j)^2
comp hprior = %diag(%vec(minnprec)); * Put everything in vec form
comp bprior = %vec(minnmean)
what would be the next step in calculating the marginal likelihood for that BVAR?
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