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BayesLinear - Linear Gaussian model estimated using MCMC

Posted: Wed Sep 03, 2014 1:19 pm
by AVossmeyer
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

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Posted: Wed Sep 03, 2014 2:33 pm
by trubador
This is a very nice and useful add-in. Thanks for sharing.

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Posted: Wed Sep 03, 2014 2:58 pm
by startz
When I try to open the documentation, I get the following error message.
Capture.PNG
Capture.PNG (74.99 KiB) Viewed 8850 times

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Posted: Wed Sep 03, 2014 3:25 pm
by EViews Gareth
Slight bug in the installer. A new version has been posted.

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Posted: Wed Sep 03, 2014 3:54 pm
by startz
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.

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Posted: Wed Sep 03, 2014 4:03 pm
by EViews Gareth
(2) is a limitation of the EViews programming language - CTRL-L doesn't work in program generated dialogs.

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Posted: Wed Sep 03, 2014 4:21 pm
by AVossmeyer
Thank you for the comments and catching the error message.

- Angela

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Posted: Fri Dec 05, 2014 2:23 am
by mrafei
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.

Re: BayesLinear - Linear Gaussian model estimated using MCMC

Posted: Thu Jul 11, 2019 10:56 am
by lsbb21
Hello, thank you for this great add-in. I would like to know what are the parameters chosen for the prior distributions on the default setting. Thank you very much.