Hi all,
I am trying to estimate a small open economy model using Bayesian method. I obtain some reasonable estimates of parameters but the marginal likelihood obtained (using Laplace approximation or harmonic mean estimator) is positive rather than negative. Does this imply something is wrong with the model or estimation?
Thank you so much!
Musmic
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marginal likelihood
by musmic » Tue Mar 10, 2009 10:48 am
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Re: marginal likelihood
by StephaneAdjemian » Sat Mar 14, 2009 12:57 pm
Hi Musmic, The answer is no. Dynare reports the logarithm of the marginal density. The (logged) density of the sample, depending on the model and/or the sample, can be positive or negative. The absolute level of this density is not really informative.
Best, Stéphane.
Best, Stéphane.
- StephaneAdjemian
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Re: marginal likelihood
by musmic » Sun Mar 15, 2009 5:55 am
Hi Stephane,
Many thanks! Your information is very useful.
Musmic
Many thanks! Your information is very useful.
Musmic
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