bbemkr (version 1.1)

bbelogpriors: Calculate the log prior used in the log marginal density of Chib (1995).

Description

Calculate the log prior using the estimated bandwidths of the regressors and variance of the error density obtained from the MCMC output

Usage

bbelogpriors(x, sigma, prior_p = 2, prior_st = 0.1)

Arguments

x

Estimated bandwidths of the regressors, after the MCMC iterations

sigma

Estimated variance of the error density, after the MCMC iterations

prior_p

Tuning parameter in the inverse-gamma prior

prior_st

Tuning parameter in the inverse-gamma prior

Value

• Value of the log prior

Details

According to Chib (1995), the log marginal density = loglikelihood + logprior - logdensity

References

S. Chib (1995) Marginal likelihood from the Gibbs output, Journal of the American Statistical Association, 90, 432, 1313-1321. M. A. Newton and A. E. Raftery (1994) Approximate Bayesian inference by the weighted likelihood bootstrap (with discussion), Journal of the Royal Statistical Society, 56, 3-48.

See Also

bbelogdensity,bbeloglikelihood,bbeMCMCrecording