bbemkr (version 1.2)

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

Description

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

Usage

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

Arguments

x

Estimated averaged bandwidths of the regressors, obtained after the MCMC iterations

sigma

Estimated averaged variance of the error density, obtained after the MCMC iterations

prior_p

A tuning parameter of the prior of error variance, following inverse gamma distribution

prior_st

Another tuning parameter of the prior of error variance, following inverse gamma distribution

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