Dear list,
i ran a MCMC simulation of a univariate Stochastic
Volatility Model (456 observations) for 1100
iterations with burnin of 100 iterations.
The first program was in C++ (using the Scythe
Library) and its execution took 8 minutes.
The second try was with WinBUGS - and it took only 6
seconds!!! (refresh was 100 iterations).
How is this possible?? Maybe I am doing something
wrong?
Any suggestions would be appreciated!
Best regards,
Valentin Dimitrov
PhD student,
Statistic and Econometrics
University of Saarland,
Germany
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