BayesLinear - Linear Gaussian model estimated using MCMC

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AVossmeyer
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Joined: Fri Dec 20, 2013 3:48 pm

BayesLinear - Linear Gaussian model estimated using MCMC

Postby AVossmeyer » Wed Sep 03, 2014 1:19 pm

This thread is about the add-in BayesLinear. This add-in estimates a linear Gaussian model using Gibbs sampling. The add-in requests the user input the dependent variable and regressors. The user may select default or custom options for the priors, the number of MCMC draws, and the burn-in sample. The output is a table that reports posterior means, standard deviations, and 95% credibility intervals. In addition, histograms of the draws are displayed.

Please let me know if there are any questions or comments.

Thank you,

Angela Vossmeyer

trubador
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Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Postby trubador » Wed Sep 03, 2014 2:33 pm

This is a very nice and useful add-in. Thanks for sharing.

startz
Non-normality and collinearity are NOT problems!
Posts: 3118
Joined: Wed Sep 17, 2008 2:25 pm

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Postby startz » Wed Sep 03, 2014 2:58 pm

When I try to open the documentation, I get the following error message.
Capture.PNG
Capture.PNG (74.99 KiB) Viewed 4913 times

EViews Gareth
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Re: BayesLinear - Linear Gaussian model estimated using MCMC

Postby EViews Gareth » Wed Sep 03, 2014 3:25 pm

Slight bug in the installer. A new version has been posted.
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startz
Non-normality and collinearity are NOT problems!
Posts: 3118
Joined: Wed Sep 17, 2008 2:25 pm

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Postby startz » Wed Sep 03, 2014 3:54 pm

A very nice addition.

Two minor points:
(1) In the "Burn-in must be a" error message "positive" is misspelled.
(2) Ctrl-L doesn't work in the fields. I imagine this is not specific to this add-in.

EViews Gareth
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Re: BayesLinear - Linear Gaussian model estimated using MCMC

Postby EViews Gareth » Wed Sep 03, 2014 4:03 pm

(2) is a limitation of the EViews programming language - CTRL-L doesn't work in program generated dialogs.
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AVossmeyer
Posts: 7
Joined: Fri Dec 20, 2013 3:48 pm

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Postby AVossmeyer » Wed Sep 03, 2014 4:21 pm

Thank you for the comments and catching the error message.

- Angela

mrafei
Posts: 1
Joined: Fri Dec 05, 2014 2:11 am

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Postby mrafei » Fri Dec 05, 2014 2:23 am

Dear colleagues,
when i want to estimate for a linear model and I want to determine the prior, in order to customize them I could not choose any specific numbers for its 4 options(Means and standard errors).
I would be glad if any of you have comments for my problem and give me an example.


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