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. |
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