Hi everyone,
I am working on a bayesian panel data specification, which is pretty much
the same as the one detailed in Pesaran, Hsiao, Tahmiscioglu (1997). To
Gibbs sample the posterior densities, the authors employ 2500 iterations,
500 of which for the burn in. I was wondering if there is an optimal number
of iterations and burn in period, or at least a rule of thumb for this kind
of problem. Any help and suggestions will be welcome
Many thanks in advance
Lorenzo
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Lorenzo Trapani
PhD Student -
University of Bergamo and Cass Business School
Research Fellow -
Cass Business School and Politecnico di Milano
Faculty of Finance
Cass Business School
106 Bunhill Row
London EC1Y 8TZ
tel.: +44 (0) 207 040 8089
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