lpl {bvhar}

Evaluate the Model Based on Log Predictive Likelihood

Description

This function computes LPL given prediction result versus evaluation set.

Usage

lpl(x, y, ...)

## S3 method for class 'predsv'
lpl(x, y, ...)

Arguments

x

Forecasting object

y

Test data to be compared. should be the same format with the train data.

...

not used

References

Cross, J. L., Hou, C., & Poon, A. (2020). Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity. International Journal of Forecasting, 36(3), 899–915.

Gruber, L., & Kastner, G. (2022). Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends! arXiv.