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BVAR marginal likelihood
Posted: Wed Mar 02, 2016 3:26 am
by tinka
In a previous post in the forum it was mentioned that Eviews does not provide the marginal (log) likelihood for BVAR estimations (I use Eviews 8 ). However, when I use the Sims-Zha prior, a marginal log-likelihood is given in the estimation output (which however has the value 0 no matter how I formulate the model).
Can you tell me if this marginal log likelihood calculated by Eviews has any informative value and why it is not given using other priors?
Thank you in advance.
Re: BVAR marginal likelihood
Posted: Wed Mar 02, 2016 9:20 am
by EViews Gareth
What's the build date of your copy of 8?
Re: BVAR marginal likelihood
Posted: Tue Mar 08, 2016 7:45 am
by tinka
The build date is Dec 4 2013.
Re: BVAR marginal likelihood
Posted: Tue Mar 08, 2016 8:51 am
by EViews Gareth
Please update
Re: BVAR marginal likelihood
Posted: Wed Mar 09, 2016 8:54 am
by tinka
I updated to Eviews 8.1 build Sep 8 2015 but the problem persits. Do which version do I have to update?
Re: BVAR marginal likelihood
Posted: Wed Mar 09, 2016 9:01 am
by EViews Gareth
Ah, sorry, I thought we had made a fix in EViews 8, but it looks like it is in 9 only. You could download the demo copy of 9 and estimate there to obtain the marginal LL.
http://www.eviews.com/demo
Re: BVAR marginal likelihood
Posted: Thu Apr 20, 2017 8:17 am
by apple564
Hi,
I have Eviews 9 but I couldn't see the marginal likelihood anywhere. My version build date is 17/10/2016. Can you please guide me where I can find the marginal likelihood for bayesian estimation?
Re: BVAR marginal likelihood
Posted: Thu Apr 20, 2017 9:17 pm
by EViews Gareth
It isn't shown for the Litterman prior.