Estimate the marginal data density for the model with a Minnesota prior.
object of class
additional arguments (currently only
The method used for estimating the marginal data density is the proposal made by Schorfheide and Song (2015).
The logarithm of the marginal data density.
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
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