Question on the bayesian estimation results

[lssp1]

Dear Professor Pfeifer,

I use 6 series of data to do the bayesian estimation on a DSEG model with 6 shocks. If I change the data that being used during the estimation, the results will change as well. How should I judge which results are more acceptable?

Thank you very much for your time on this.

[jpfeifer]

See

Problems with the results of Bayesian estimation?

Dear Professor Pfeifer, When I use Bayesian approach to estimate the parameters in the model, I choose, for example, 6 observation series as there are 6 shocks and get results which seem ideal. However, when I change one of the series to a new one (e.g. I substitute output series for interest rate series), the results still seem acceptable while the values of estimated parameters are a little different and the conditional variance decomposition of variables is quite different. Is this normal w…