cov_chol_admkr:
Calculate log marginal likelihood from MCMC output
Description
It is a type of candidate estimator for calculating log marginal likelihood, where the MCMC outputs are used for estimating posterior density.
Usage
cov_chol_admkr(xpost, alpha, data_x, data_y)
Arguments
xpost
MCMC output
alpha
Quantile of the critical value in calculating Geweke's log marginal likelihood
data_x
Regressors
data_y
Response variable
Value
Log marginal likelihood
References
J. Geweke (1998) Using simulation methods for Bayesian econometric models: inference, development, and communication, Econometric Reviews, 18(1), 1-73.