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Sequential Marginal Likelihood

 

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View a plot of sequentially estimated marginal likelihood. You can choose between the Chib and Jeliazkov (2001) estimator, Geweke's modified harmonic mean, and Sims, Waggoner and Zha's version of the modified harmonic mean. The selection of sequential sample as well as the coverage probability selection is performed on the DSGE posterior sampling frame on the Settings tab. These sequential estimates are only available when an MCMC posterior sampler has been selected.

As an alternative you can choose to display the full sample estimate of the marginal likelihood or the Laplace approximation (Tierney and Kadane, 1986) of the full sample sample estimate. The inverse Hessian is always computed with finite difference methods.

 

Additional Information

A more detailed description of marginal likelihood estimators is found in Section 10 of the YADA Manual.

 

 


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