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I know it is a stupid question...but I really can not find the marginal data density code in manual or user guide.is it in the "estimate"?I don not think it works when I code "marginal_density()" after "estimate"command.
I will be really grateful if someone can give a example.
btw,Is it the same as marginal likelihood?I believe many people had compared two models by this index,really need a help!
yaliallen

The log marginal data density will be computed automatically by the estimation-command if you use Bayesian estimation. As written in the manual, it is stored in oo_.MarginalDensity.
Yes, this it the statistic used for model comparison and is also referred to a the marginal likelihood or model evidence.

jpfeifer wrote:The log marginal data density will be computed automatically by the estimation-command if you use Bayesian estimation. As written in the manual, it is stored in oo_.MarginalDensity.
Yes, this it the statistic used for model comparison and is also referred to a the marginal likelihood or model evidence.

thank you mr pfeifer for helping me. but i cannot find where to see this output. if i should type a additional code "oo_.MarginalDensity" under estimation? I try this,but it shows:

??? Reference to non-existent field 'MarginalDensity'.

Error in ==> LJWSIGEQZ at 1805
oo_.MarginalDensity;

Error in ==> dynare at 120
evalin('base',fname) ;

or

Starting Dynare (version 4.3.3).
Starting preprocessing of the model file ...
ERROR: LJWSIGEQZ.mod:127.69-71: syntax error, unexpected NAME

if not,as http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=4121&p=14435&hilit=oo_marginal#p14435 said,I didn't say the same result with my code.
really want to know what goes wrong..Thank u!
attachments is my code and data

The marginal data density is a Bayesian concept. You are estimating the model with ML and not with Bayesian techniques. That won't work.