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BAYES

The BAYES command provides a procedure for estimation with inequality restrictions. The method uses a Monte Carlo numerical integration procedure that is implemented by generating replications from a multivariate t distribution. The BAYES command must itself follow an estimation command such as OLS. For further details seem the chapter on INEQUALITY RESTRICTIONS in the SHAZAM Reference Manual.

In general, the format is:

BAYES / options NSAMP=

The available options are:

OPTION DESCRIPTION
df= Specifies the degrees of freedom for the t distribution. The default setting is N-K.
noantithet Omits the ANTITHETIC replications.
normal Assumes the coefficients are normally distributed rather than t distributed.
nsamp Specifies the number of replications. The NSAMP= option is required. This should be a small number (for example 100), while the user is experimenting.
outunit Specifies an output unit number to write all the replicated coefficients that satisfy the inequality restrictions. The output unit should be assigned with the SHAZAM FILE command. If NSAMP= is a large number, the resulting file could be quite large.
psigma Prints the ORIGINAL COVARIANCE MATRIX ESTIMATE and the NUMERICAL COVARIANCE MATRIX.