mdd.mfbvar_minn_iw: Marginal data density method for class 'mfbvar_minn'

Description Usage Arguments Details Value References See Also

View source: R/mdd.R

Description

Estimate the marginal data density for the model with a Minnesota prior.

Usage

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## S3 method for class 'mfbvar_minn_iw'
mdd(x, ...)

Arguments

x

object of class mfbvar_minn

...

additional arguments (currently only p_trunc for the degree of truncation is available)

Details

The method used for estimating the marginal data density is the proposal made by Schorfheide and Song (2015).

Value

The logarithm of the marginal data density.

References

Schorfheide, F., & Song, D. (2015) Real-Time Forecasting With a Mixed-Frequency VAR. Journal of Business & Economic Statistics, 33(3), 366–380. doi: 10.1080/07350015.2014.954707

See Also

mdd, mdd.mfbvar_ss_iw


mfbvar documentation built on Feb. 10, 2021, 5:12 p.m.