Run the Gibbs sampling algorithm for the VAR model. The number of posterior draws, the number of burn-in draws, etc., are determined in the posterior sampling frame on the Options tab. The posterior mode estimates of the parameters are used as starting values for the Gibbs sampler.
Once the sampler has finished it will compute statistics for the estimated parameters, such as the posterior mean and median.It will also compute the marginal likelihood.If you have selected to compute the marginal likelihood sequentially, this will also be performed and the graph shown. This can also be performed directly using the sequential marginal likelihood function.
Additional Information
• | A detailed description about Gibbs sampling for the Bayesian VAR model can be found in Section 14.3 of the YADA Manual. |
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