economic_growth_ms_full_proj_const: Full Model Space with Constant Projection Matrix

In bdsm: Bayesian Dynamic Systems Modeling

Full Model Space with Constant Projection Matrix

Description

A matrix representing the model space built using all regressors from the economic_growth dataset. Therefore the model space contains 2^9 = 512 models (columns). The same projection matrix is used for each model.

Usage

economic_growth_ms_full_proj_const

Format

economic_growth_ms_full_proj_const

A double matrix with 106 rows and 512 columns.

Details

TODO: to avoid NaNs when computing estimates of standard deviations, the step size in the hessian function has to be increased to 1e-2. This is most likely cause by the fact that the likelihood values are much closer to each other after the correction for the projection matrix is introduced. Hence we have to either increase the relative tolerance of the optimization algorithm or loosen the precision when computing approximate hessian.

bdsm documentation built on April 4, 2025, 1:06 a.m.