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 and the Chib and Jeliazkov (2001) estimator. The former is supported by posterior draws from both the slice sampler and the random-walk Metropolis algorithm, while the latter can only use posterior draws based on the random-walk Metropolis.
Additional Information
• | A more detailed description of marginal likelihood estimators is found in Section 10 of the YADA Manual. |
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