Table 1.

Log marginal likelihood for the small BVAR model.

	Weak	SZ	Strong SZ			Weak	SZ	Strong SZ
19Q4	−1748.65	−1336.97	−1440.18		19Q4	−1686.01	−1261.99	−1381.34
20Q1	−1791.18	−1376.40	−1475.32		20Q1	−1707.68	−1283.12	−1402.46
20Q2	−1886.03	−1484.85	−1585.18		20Q2	−1740.65	−1315.44	−1434.05
20Q3	−1966.81	−1539.32	−1631.13		20Q3	−1772.91	−1348.37	−1463.95
20Q4	−1986.24	−1550.60	−1642.30		20Q4	−1786.26	−1359.18	−1475.18
21Q1	−2003.93	−1568.70	−1658.81		21Q1	−1802.27	−1374.57	−1490.36
21Q2	−2016.85	−1577.25	−1667.85		21Q2	−1813.50	−1384.72	−1501.50
	(a) BVAR with Gaussian errors					(b) BVAR with fat-tailed errors

Note: The bold figure indicates the maximum log marginal likelihood for each model in a selected estimation window. ‘Weak’ stands for a weakly informative prior, and ‘SZ’ stands for Sims and Zha.