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Bayesian Econometric Methods Gary Koop Digital
Instant Download
Author(s): Gary Koop, Dale J. Poirier, Justin L. Tobias
ISBN(s): 9780521855716, 0521855713
Edition: None
File Details: PDF, 2.33 MB
Year: 2007
Language: english
This page intentionally left blank
Econometric Exercises, Volume 7

Bayesian Econometric Methods

This book is a volume in the Econometric Exercises series. It teaches principles of Bayesian
econometrics by posing a series of theoretical and applied questions, and providing detailed
solutions to those questions. This text is primarily suitable for graduate study in economet-
rics, though it can be used for advanced undergraduate courses, and should generate interest
from students in related fields, including finance, marketing, agricultural economics, busi-
ness economics, and other disciplines that employ statistical methods. The book provides
a detailed treatment of a wide array of models commonly employed by economists and
statisticians, including linear regression-based models, hierarchical models, latent variable
models, mixture models, and time series models. Basics of random variable generation and
simulation via Markov Chain Monte Carlo (MCMC) methods are also provided. Finally,
posterior simulators for each type of model are rigorously derived, and Matlab computer
programs for fitting these models (using both actual and generated data sets) are provided
on the Web site accompanying the text.

Gary Koop is Professor of Economics at the University of Strathclyde. He has published

numerous articles in Bayesian econometrics and statistics in journals such as the Journal of
Econometrics, Journal of the American Statistical Association, and the Journal of Business
and Economic Statistics. He is an associate editor for several journals, including the Jour-
nal of Econometrics and Journal of Applied Econometrics. He is the author of the books
Bayesian Econometrics, Analysis of Economic Data, and Analysis of Financial Data.

Dale J. Poirier is Professor of Economics at the University of California, Irvine. He is a

Fellow of the Econometric Society, the American Statistical Association, and the Journal
of Econometrics. He has been on the Editorial Boards of the Journal of Econometrics and
Econometric Theory and was the founding editor of Econometric Reviews. His professional
activities have been numerous, and he has held elected positions in the American Statistical
Association and the International Society for Bayesian Analysis. His previous books in-
clude Intermediate Statistics and Econometrics: A Comparative Approach and The Econo-
metrics of Structural Change.

Justin L. Tobias is Associate Professor of Economics, Iowa State University, and has also
served as an Assistant and Associate Professor of Economics at the University of California,
Irvine. Professor Tobias has authored numerous articles in leading journals, including the
International Economic Review, Journal of Applied Econometrics, Journal of Business and
Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics.
Econometric Exercises

Editors:
Karim M. Abadir, Tanaka Business School,
Imperial College London, UK
Jan R. Magnus, CentER and Department of Econometrics and Operations Research,
Tilburg University, The Netherlands
Peter C. B. Phillips, Cowles Foundation for Research in Economics,
Yale University, USA

Titles in the Series (* = planned):

1 Matrix Algebra (K. M. Abadir and J. R. Magnus)
2 Statistics (K. M. Abadir, R. D. H. Heijmans, and J. R. Magnus)
3 Econometric Theory, I (P. Paruolo)
4 Empirical Applications, I (A. van Soest and M. Verbeek)
5 Econometric Theory, II
6 Empirical Applications, II
7 Bayesian Econometric Methods (G. Koop, D. J. Poirier, and J. L. Tobias)
* Time Series Econometrics, I
* Time Series Econometrics, II
* Microeconometrics
* Panel Data
* Nonlinear Models
* Nonparametrics and Semiparametrics
* Simulation-Based Econometrics
* Computational Methods
* Financial Econometrics
* Robustness
* Econometric Methodology
Bayesian Econometric Methods

Gary Koop
University of Strathclyde, Scotland

Dale J. Poirier
University of California, Irvine, USA

Justin L. Tobias
Iowa State University, USA
CAMBRIDGE UNIVERSITY PRESS
Cambridge, New York, Melbourne, Madrid, Cape Town, Singapore, São Paulo

Cambridge University Press

The Edinburgh Building, Cambridge CB2 8RU, UK
Published in the United States of America by Cambridge University Press, New York
www.cambridge.org
Information on this title: www.cambridge.org/9780521855716

© Gary Koop, Dale J. Poirier, and Justin L. Tobias 2007

This publication is in copyright. Subject to statutory exception and to the provision of

relevant collective licensing agreements, no reproduction of any part may take place
without the written permission of Cambridge University Press.
First published in print format 2007

ISBN-13 978-0-511-29482-2 eBook (EBL)

ISBN-10 0-511-29482-4 eBook (EBL)

ISBN-13 978-0-521-85571-6 hardback

ISBN-10 0-521-85571-3 hardback

ISBN-13 978-0-521-67173-6 paperback

ISBN-10 0-521-67173-6 paperback

Cambridge University Press has no responsibility for the persistence or accuracy of urls
for external or third-party internet websites referred to in this publication, and does not
guarantee that any content on such websites is, or will remain, accurate or appropriate.
To Lise
To the Reverend but not the Queen
To Melissa, Madeline, and Drew
 Contents

List of exercises ix
Preface to the series xv
Preface xix

1 The subjective interpretation of probability 1

2 Bayesian inference 11
3 Point estimation 29
4 Frequentist properties of Bayesian estimators 37
5 Interval estimation 51
6 Hypothesis testing 59
7 Prediction 71
8 Choice of prior 79
9 Asymptotic Bayes 91
10 The linear regression model 107
11 Basics of Bayesian computation 117
11.1 Monte Carlo integration 119
11.2 Importance sampling 124
11.3 Gibbs sampling and the Metropolis–Hastings algorithm 128
11.4 Other (noniterative) methods for generating random variates 157
12 Hierarchical models 169
13 The linear regression model with general covariance matrix 191
14 Latent variable models 203
15 Mixture models 253
15.1 Some scale mixture of normals models 254
15.2 Other continuous and finite-mixture models 260
16 Bayesian model averaging and selection 281
16.1 Bayesian model averaging 282
16.2 Bayesian variable selection and marginal likelihood calculation 287
vii
viii Contents

17 Some stationary time series models 297

18 Some nonstationary time series models 319

Appendix 335
Bibliography 343
Index 353
 List of exercises

Chapter 1: The subjective interpretation of probability

1.1 Let’s make a deal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.2 Making Dutch book . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.3 Independence and exchangeability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.4 Predicted probability of success of a Bernoulli random variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.5 Independence and conditional independence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8

Chapter 2: Bayesian inference

2.1 Conjugate Bernoulli analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
2.2 Application of Bayes’ theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.3 Conjugate normal analysis with unknown mean and known variance . . . . . . . . . . . . . . . . . . . . . . . . 14
2.4 Conjugate normal analysis with unknown mean and variance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
2.5 Properties of a normal-gamma distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
2.6 Fictitious sample interpretation of natural conjugate priors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
2.7 Conjugate normal analysis with known mean and unknown variance . . . . . . . . . . . . . . . . . . . . . . . . 20
2.8 Marginal distribution of θ1 when θ1 , θ2 ∼ N G . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.9 Conditional distribution of θ2 |θ1 when θ1 , θ2 ∼ N G . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.10 Conjugate exponential analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
2.11 Conjugate uniform analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
2.12 Conjugate poisson analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
*2.13 Conjugate exponential family analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
*2.14 Conjugate multivariate normal analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
2.15 Identification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27

Chapter 3: Point estimation

3.1 Point estimation under quadratic loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
3.2 Point estimation under asymmetric linear loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
3.3 Point estimation under all-or-nothing loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
3.4 Point estimation under quadratic loss for conjugate Bernoulli analysis . . . . . . . . . . . . . . . . . . . . . . . 33
3.5 Point estimation under asymmetric linear loss for conjugate Bernoulli analysis . . . . . . . . . . . . . . . 33
3.6 Point estimation under all-or-nothing loss for conjugate Bernoulli analysis . . . . . . . . . . . . . . . . . . . 33
3.7 Point estimation for conjugate normal analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
3.8 Point estimation under weighted squared error loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
3.9 Point estimation under alternative squared error loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
3.10 Point estimation under nonconjugate normal analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
3.11 Point estimation under linex loss: Zellner [1986b] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36

ix
x List of exercises

Chapter 4: Frequentist properties of Bayesian estimators

*4.1 Sampling properties under quadratic loss in conjugate normal analysis . . . . . . . . . . . . . . . . . . . . . . 38
*4.2 Sampling properties under quadratic loss in conjugate exponential analysis . . . . . . . . . . . . . . . . . . 40
4.3 Expected bias of Bayesian point estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
4.4 Balanced loss in conjugate normal analysis: Zellner [1994] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
4.5 Empirical Bayes estimation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
4.6 Point estimation under linex loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
4.7 Risk, Bayes risk, and admissibility: Berger [1985] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
4.8 Likelihood principle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

Chapter 5: Interval estimation

5.1 Graphical determination of an HPD interval . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
5.2 Calculating a posterior interval probability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
5.3 HPD intervals under normal random sampling with known variance . . . . . . . . . . . . . . . . . . . . . . . . . 54
5.4 HPD intervals under normal random sampling with unknown variance . . . . . . . . . . . . . . . . . . . . . . 55
5.5 Berger and Wolpert [1988, pp. 5–6] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
5.6 Conditional frequentist reasoning and ancillarity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
5.7 HPD intervals and reparameterization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58

Chapter 6: Hypothesis testing

6.1 Two simple hypotheses and general likelihood . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
6.2 Two simple hypotheses and normal likelihoods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
*6.3 Two one-sided hypotheses and normal likelihoods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
6.4 Simple null, two-sided alternative, and general likelihood . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
6.5 Simple null hypothesis, two-sided alternative, and normal likelihoods . . . . . . . . . . . . . . . . . . . . . . . 67
6.6 Special cases of Exercise 6.5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
6.7 Relationship among posterior probabilities under different prior probabilities . . . . . . . . . . . . . . . . 68
6.8 Savage–Dickey density ratio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
6.9 Generalized Savage–Dickey density ratio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69

Chapter 7: Prediction
7.1 Predictive p.m.f. for conjugate Bernoulli analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
7.2 Predictive p.m.f. for conjugate Poisson analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
7.3 Predictive density for conjugate normal analysis with known variance . . . . . . . . . . . . . . . . . . . . . . . 74
7.4 Predictive point and interval estimation for conjugate normal analysis with known variance . . . 75
7.5 Predictive density for conjugate multivariate normal analysis with known covariance matrix . . . 75
7.6 Predictive estimation: conjugate multivariate normal analysis with known covariance matrix . . . 75
7.7 Predictive density for conjugate normal analysis with unknown mean and variance . . . . . . . . . . . 76
7.8 Predictive estimation: conjugate normal analysis with unknown mean and variance . . . . . . . . . . . 76
7.9 Conjugate multivariate normal analysis with unknown mean and covariance matrix . . . . . . . . . . . 77
7.10 Predictive density for conjugate exponential analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78

Chapter 8: Choice of prior

8.1 Bernoulli sampling distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
8.2 Negative binomial sampling distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83
8.3 Kass and Wasserman [1996, Section 4.3] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
8.4 Poisson sampling distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
8.5 Exponential sampling distribution and reparameterization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
8.6 Normal sampling distribution with unknown mean and variance . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
8.7 Hypothesis testing with improper priors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
8.8 Bayes factor with a diffuse proper prior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
*8.9 Strong inconsistency of improper priors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88

Chapter 9: Asymptotic Bayes

9.1 Posterior means . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
9.2 Laplace approximation of a gamma integrating constant . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
9.3 Laplace approximation of a gamma integrating constant, 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
9.4 Laplace approximation of a gamma integrating constant, 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
 List of exercises xi

9.5 Comparison of Laplace approximations of a gamma integrating constant . . . . . . . . . . . . . . . . . . . . 97

9.6 Laplace approximation of the posterior mean of an exponential random variable . . . . . . . . . . . . . . 97
9.7 Tierney–Kadane approximation: exponential posterior mean: Achcar and Smith [1990] . . . . . . . 98
9.8 Tierney–Kadane approximation: exponential posterior mean, 2: Achcar and Smith [1990] . . . . 100
9.9 Approximate Bayes factors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
9.10 Approximate marginal posteriors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103

Chapter 10: The linear regression model

10.1 Posterior distributions under a normal-gamma prior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
10.2 A partially informative prior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110
10.3 Ellipsoid bound theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
*10.4 Problems with Bayes factors using noninformative priors: Leamer [1978, p. 111] . . . . . . . . . . . . 112
10.5 Multicollinearity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114

Chapter 11: Basics of Bayesian computation

Section 11.1: Monte Carlo integration
11.1 Numerical standard error of Monte Carlo estimate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
11.2 Drawing from standard distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120
11.3 Monte Carlo integration in a regression problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
Section 11.2: Importance sampling
11.4 Importance sampling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
11.5 Importance sampling: prior sensitivity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
Section 11.3: Gibbs sampling and the Metropolis–Hastings algorithm
11.6 Gibbs sampling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129
11.7 Gibbs sampling from the bivariate normal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
11.8 Gibbs sampling in a regression problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134
11.9 Gibbs sampling in a model of groupwise heteroscedasticity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135
11.10 Gibbs sampling in the SUR model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
11.11 Gibbs sampling in a regression model with an unknown changepoint . . . . . . . . . . . . . . . . . . . . . . . 138
11.12 Gibbs sampling in a count data model with an unknown changepoint . . . . . . . . . . . . . . . . . . . . . . . 140
11.13 Error diagnostics with Gibbs sampling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 142
11.14 Calculating numerical standard errors with Gibbs sampling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144
11.15 Gibbs sampling in a regression model with inequality constraints: Geweke [1996b] . . . . . . . . . . 146
11.16 Checking for errors in a posterior simulator: Geweke [2004] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 150
11.17 Metropolis–Hastings algorithm, 1: Gelman, Carlin, Stern, and Louis [1995] . . . . . . . . . . . . . . . . 152
11.18 Metropolis–Hastings algorithm, 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 154
Section 11.4: Other (noniterative) methods for generating random variates
11.19 The inverse transform . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157
11.20 Applications of the inverse transform: drawing exponential and truncated normal variates . . . . 159
11.21 Acceptance/rejection sampling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160
11.22 Using acceptance/rejection sampling, 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162
11.23 A generalized acceptance/rejection algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162
11.24 Using acceptance/rejection sampling, 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165
11.25 The weighted bootstrap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167

Chapter 12: Hierarchical models

12.1 General results for normal hierarchical linear models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 169
12.2 Hierarchical modeling with longitudinal data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 171
12.3 A posterior simulator for a linear hierarchical model: Gelfand et al. [1990] . . . . . . . . . . . . . . . . . 173
12.4 The linear hierarchical model, 2: estimation and convergence diagnostics . . . . . . . . . . . . . . . . . . . 177
12.5 Blocking steps in random effects models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 181
*12.6 Hierarchical recentering: Gelfand, Sahu, and Carlin [1995] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184
12.7 A hierarchical/smoothness prior approach to nonparametric regression . . . . . . . . . . . . . . . . . . . . . 187

Chapter 13: The linear regression model with general covariance matrix
13.1 Theoretical results for the general case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192
13.2 Heteroscedasticity of a known form . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193
13.3 Heteroscedasticity of an unknown form: student t errors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 195
13.4 Autocorrelated errors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 198
xii List of exercises

Chapter 14: Latent variable models

14.1 Posterior simulation in the probit model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 204
14.2 Parameter identification in the probit model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 206
14.3 Probit model: application using Fair’s [1978] data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 208
14.4 Posterior simulation in the panel probit model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 210
14.5 Posterior simulation in the ordered probit, 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 211
14.6 Posterior simulation in the ordered probit, 2: Nandram and Chen [1996] . . . . . . . . . . . . . . . . . . . . 214
14.7 Posterior simulation in the multinomial probit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 216
14.8 Posterior simulation in the tobit model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219
14.9 A tobit model with two-sided censoring: a female labor supply application . . . . . . . . . . . . . . . . . 221
14.10 Posterior simulation in a treatment–effect model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223
14.11 Posterior simulation in a generalized tobit: a model of potential outcomes, 1 . . . . . . . . . . . . . . . . 225
14.12 A model of potential outcomes, 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
14.13 Posterior simulation in an ordered-treatment, ordered-outcome model . . . . . . . . . . . . . . . . . . . . . . 232
14.14 Posterior simulation in the stochastic frontier model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 236
14.15 Posterior simulation in the two-part [hurdle] model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 240
14.16 Posterior simulation in the sample-selection model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
14.17 Missing data, 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 246
14.18 Missing data, 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247
14.19 Missing data, 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248

Chapter 15: Mixture models

Section 15.1: Some scale mixture of normals models
15.1 The student t-distribution as a scale mixture of normals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 254
15.2 Student t errors in regression and binary choice models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 256
15.3 Posterior simulation in a regression model with double exponential errors . . . . . . . . . . . . . . . . . . 258
Section 15.2: Other continuous and finite-mixture models
15.4 The negative binomial as a continuous mixture of the Poisson . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 260
15.5 Experiments with two-component normal mixtures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 262
15.6 Using finite normal mixtures in a regression model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 265
15.7 A normal mixture with covariates affecting the mixture assignment: response delays . . . . . . . . . 266
15.8 Are my students randomly guessing? . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 270
15.9 A skewed regression model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 276

Chapter 16: Bayesian model averaging and selection

Section 16.1: Bayesian model averaging
16.1 Basic g-prior results commonly used with BMA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282
16.2 Markov chain Monte Carlo model composition [MC3 ] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 283
16.3 BMA: an application in economic growth . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 284
Section 16.2: Bayesian variable selection and marginal likelihood calculation
16.4 Stochastic search variable selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 287
*16.5 Nonparametric regression via variable selection: Smith and Kohn [1996] . . . . . . . . . . . . . . . . . . . 289
16.6 Calculating the marginal likelihood with simulated output: Gelfand–Dey [1994] . . . . . . . . . . . . 293
16.7 Calculating the marginal likelihood with simulated output: Chib [1995] . . . . . . . . . . . . . . . . . . . . 293
16.8 Calculating marginal likelihoods with generated data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 295

Chapter 17: Some stationary time series models

17.1 Using the AR(p) model to understand the properties of a series . . . . . . . . . . . . . . . . . . . . . . . . . . . . 298
17.2 The threshold autoregressive (TAR) model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300
17.3 Extensions of the basic TAR model, 1: other threshold triggers . . . . . . . . . . . . . . . . . . . . . . . . . . . . 304
17.4 Extensions of the basic TAR model, 2: switches in the error variance . . . . . . . . . . . . . . . . . . . . . . . 307
17.5 Autoregressive conditional heteroscedasticity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 310
17.6 Vector autoregressive models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 312

Chapter 18: Some nonstationary time series models

18.1 The AR(1) model with a flat prior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 320
18.2 Sims and Uhlig [1991] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 321
 List of exercises xiii

18.3 Unit roots and Jeffreys’ prior . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 324

18.4 Berger and Yang [1994] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326
18.5 Kadane, Chan, and Wolfson [1996] . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 327
18.6 Cointegration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 330
 Preface to the series

The past two decades have seen econometrics grow into a vast discipline. Many different
branches of the subject now happily coexist with one another. These branches interweave
econometric theory and empirical applications and bring econometric method to bear on
a myriad of economic issues. Against this background, a guided treatment of the modern
subject of econometrics in volumes of worked econometric exercises seemed a natural and
rather challenging idea.
The present series, Econometric Exercises, was conceived in 1995 with this challenge
in mind. Now, almost a decade later it has become an exciting reality with the publication
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These questions we now address, starting with our overall goals for the series.
Econometric Exercises is published as an organized set of volumes. Each volume in the
series provides a coherent sequence of exercises in a specific field or subfield of economet-
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matter of econometrics through solved exercises, providing a coverage of the subject that
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Problem solving and worked exercises play a major role in every scientific subject.
They are particularly important in a subject like econometrics in which there is a rapidly
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the discipline. As students, instructors, and researchers, we all benefit by seeing carefully

xv
xvi Preface to the series

worked-out solutions to problems that develop the subject and illustrate its methods and
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thinking and help them in preparing for tests and exams. Teachers, as well as students,
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 Preface to the series xvii

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York, Tilburg, New Haven Karim M. Abadir

June 2005 Jan R. Magnus
Peter C. B. Phillips
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*** START OF THE PROJECT GUTENBERG EBOOK THE STORY OF

JUSTIN MARTYR, AND OTHER POEMS ***
 P O E M S.

THE

STORY OF JUSTIN MARTYR,

AND

O T H E R P O E M S.

BY
RICHARD CHENEVIX TRENCH,
PERPETUAL CURATE OF CURDRIDGE CHAPEL, HANTS.

LONDON:
EDWARD MOXON, DOVER STREET.

MDCCCXXXV.

LONDON:

BRADBURY AND EVANS, PRINTERS,

WHITEFRIARS.
 CONTENTS.
PAGE

Dedicatory Lines 1
The Story of Justin Martyr 9
Sonnet 27
To —— 28
To the same 29
To the same 30
To the same 31
To the same 32
A Legend of Alhambra 33
England 38
The Island of Madeira 39
Gibraltar 40
England 41
Poland 42
To Nicholas, Emperor of Russia, on his reported
Conduct towards the Poles 43
On the Results of the last French Revolution 44
To England 45
Sonnet 46
Sonnet to Silvio Pellico 47
To the Same 48
From the Spanish 49
Lines 52
To a Friend entering the Ministry 53
To a Child Playing 57
The Herring-Fishers of Lochfyne 59
In the Isle of Mull 60
The same 61
At Sea 62
An Evening in France 63
Sonnet. To my Child, a Fellow-traveller 68
The Descent of the Rhone 69
On the Perseus and Medusa of Benvenuto Cellini 80
Lines written at the Village of Passignano, on the Lake
of Thrasymene 81
Vesuvius, as seen from Capri 84
Vesuvius 85
The same continued 86
To England. Written after a visit to Sorrento 87
Lines written after hearing some beautiful singing in a
Convent Church at Rome. 88
On a Picture of the Assumption by Murillo 92
An Incident versified 95
Address on leaving Rome to a Friend residing in that
City 98
Tasso’s Dungeon, Ferrara 105
Sonnet 106
At Brunecken, in the Tyrol 107
Sonnet 108
Lines written in an Inn 109
To E —— 114
To ——, on the Morning of her Baptism 119
To a Lady singing 122
The same continued 123
The same continued 124
The same continued 125
The same continued 126
Sonnet 127
Sonnet 128
Sonnet 129
Despondency 130
Ode to Sleep 133
Atlantis 139
Sais 143
Sonnet 144
Recollections of Burgos 145
To a Friend 148
To the Constitutional Exiles of 1823 151
To the same 152
Sonnet 153
On an early Death 154
Sonnet 160
Sonnet 161
New Year’s Eve 162
To my Child 163
Sonnet 164
Sonnet. In a Pass between the Walchen and the
Waldensee 165
Sonnet 166
Sonnet 167
To my God-Child, on the Day of his Baptism 168
The Monk and Bird 172
 ERRATA.
[Corrected in this etext]

Page 9, line 6, for look read looks.

... 26, ... 3, for flonrish read flourish.
... 137, ... 6, for starerd read starred.
DEDICATORY LINES.
TO ——
If, Lady, at thy bidding, I have strung
As on one thread these few unvalued beads,
I cannot ask the world to count them pearls,
Or to esteem them better than they are:
But thou, I know, wilt prize them, for by thee
Solicited, I have beguiled with these
The enforcèd leisure of the present time,
And dedicate of right my little book
To thee, beloved—sure at least of this
That if my verse has aught of good or true,
It will not lack the answer of one heart—
And if herein it may be thou shalt find
Some notes of jarring discord, some that speak
A spirit ill at ease, unharmonised,
Yet ’twere a wrong unto thyself to deem
These are the utterance of my present heart,
My present mood—but of long years ago,
When neither in the light of thy calm eyes,
Nor in the pure joys of an innocent home,
Nor in the happy laughter of these babes,
Had I as yet found comfort, peace, or joy.
But all is changèd now, and could I weave
A lay of power, it should not now be wrung
From miserable moods of sullen sin,
Chewing the bitter ashes of the fruit
Itself had gathered; rather would I speak
Of light from darkness, good from evil brought
By an almighty power, and how all things,
If we will not refuse the good they bring,
Are messages of an almighty love,
And full of blessings. Oh! be sure of this—
All things are mercies while we count them so;
And this believing, not keen poverty
Nor wasting years of pain or slow disease,
Nor death, which in a moment might lay low
Our pleasant plants,—not these, if they should come,
Shall ever drift our bark of faith ashore,
Whose stedfast anchor is securely cast
Within the veil, the veil of things unseen,
Which now we know not, but shall know hereafter.

Yet wherefore this? for we have not been called

To interpret the dark ways of Providence,
But that unsleeping eye that wakes for us,
Has kept from hurt, and harm, and blind mischance,
Our happy home till now. Yet not for this
Can we escape our share of human fears
And dim forebodings, chiefly when we think
Under what hostile influence malign
They may grow up, for whom their life is cast
Now to begin in this unhappy age,
When all, that by a solemn majesty
And an enduring being once rebuked
And put to shame the sordid thoughts of man,
Must be no more permitted to affront
Him and his littleness, or bid him back
Unto the higher tasks and nobler cares
For which he lives, for which his life is lent.

Yet what though all things must be common now,

And nothing sacred, nothing set apart,
But each enclosure by rude hands laid waste,
That did fence in from the world’s wilderness
Some spot of holy ground, wherein might grow
The tender slips, the planting of the Lord;
Within the precincts of which holy spots,
With awful ordinances fencèd round,
They might grow up in beauty and in peace,
In season due to be transplanted thence
Into the garden of God,—what though all these
May perish, there will yet remain to us
One citadel one ark which hands profane
One citadel, one ark, which hands profane
Will scarce invade, or lay unholy touch
Upon the sanctities inviolate,
And pure religion of our sacred homes.
And here the culture may proceed, and here
Heaven may distil its rich and silent dews,
When all around is parched as desert heath.
For this may come, the withering and the drought,
The laying waste of every holy hedge
May come, how soon we know not, but may fear;
Since nations walk, no less than men, by faith,
As seeing that which is invisible
Unto the sealèd eye of sensual men:
And where this vision is not, or the seers
Are lightly counted of, the people perish.
And woe unto our country, if indeed
She has left off this wisdom, or esteems
This for her higher wisdom—to despise
All spiritual purpose, all far-looking aim,
And all that cannot be exchanged for gold—
Woe unto her, and turbulent unrest
Unto ourselves, who cannot hope or wish
In her disquiet to lead quiet lives,
Or to withdraw out of the stormy press
And tumult—to withdraw and keep the latch
Close fastened of our little world apart,
A peaceful island in a stormy sea,
A patch of sunshine amid shadows lying;
This must not be, we were not called to this.
And all the peace we know must be within,
And from within—from that glad river fed,
Whose springs lie deeper than that heat or cold,
Or the vicissitudes earth’s surface knows
Can reach to harm them.

Mayest thou know well

What are these springing waters wells of life
What are these springing waters, wells of life,
By the great Father dug for us at first,
And which, when sin had stopped them, love anew
Has opened, and has given them their old names
And former virtue[1]; and from these refreshed,
Mayest thou pass onward through the wilderness,
And knowing what of ill is imminent,
And may descend upon us, evermore
Strengthen with faith and prayer, with lofty thought
And effort, and it may be in some part
With soul-sustaining verse, the citadel
Of courage and heroic fortitude,
Which in the centre of a woman’s heart
Is stablished, whatsoever outwardly
Of doubt or womanly weak fear prevail.

POEMS, &c.
THE STORY OF JUSTIN MARTYR.

(SEE JUSTIN MARTYR’S FIRST DIALOGUE WITH TRYPHO.)

It seems to me like yesterday,
The morning when I took my way
Upon the shore—in solitude;
For in that miserable mood
It was relief to quit the ken
And the inquiring looks of men—
The looks of love and gentleness,
And pity, that would fain express
Its only purpose was to know,
That, knowing, it might soothe my woe:
But when I felt that I was free
From searching gaze, it was to me
Like ending of a dreary task,
Or putting off a cumbrous mask.

I wandered forth upon the shore,

Wishing this lie of life was o’er;
What was beyond I could not guess,
I thought it might be quietness,
And now I had no dream of bliss,
No thought, no other hope but this—
To be at rest—for all that fed
The dream of my proud youth had fled,
My dream of youth, that I would be
Happy and glorious, wise and free,
In mine own right, and keep my state,
And would repel the heavy weight,
The load that crushed unto the ground
The servile multitude around;
The purpose of my life had failed,
The heavenly heights I would have scaled,
Seemed more than ever out of sight,
Further beyond my feeble flight.
The beauty of the universe
Was lying on me like a curse;
O l th l t f t
Only the lone surge at my feet
Uttered a soothing murmur sweet,
As every broken weary wave
Sunk gently to a quiet grave,
Dying on the bosom of the sea—
And death grew beautiful to me,
Until it seemed a mother mild,
And I like some too happy child;
A happy child, that tired with play,
Through a long summer holiday,
Runs to his mother’s arms to weep
His little weariness asleep.
Rest—rest—all passion that once stirred
My heart, had ended in one word—
My one desire to be at rest,
To lay my head on any breast,
Where there was hope that I might keep
A dreamless and unbroken sleep;
And the lulled ocean seemed to say,
“With me is quiet,—come away.”
There is a tale that oft has stirred
My bosom deeply: you have heard
How that the treacherous sea-maid’s art
With song inveigles the lost heart
Of some lone fisher, that has stood
For days beside the glimmering flood;
And when has grown upon him there
The mystery of earth and air,
He cannot find with whom to part
The burden lying at his heart;
So when the mermaid bids him come,
And summons to her peaceful home,
He hears—he leaps into the wave,
To find a home, and not a grave.

Anon I said I would not die;

I loathed to live I feared to die
I loathed to live—I feared to die—
So I went forward, till I stood
Amid a marble solitude,
A ruined town of ancient day.
I rested where some steps away
From other work of human hand
Two solitary pillars stand,
Two pillars on a wild hill side,
Like sea-marks of a shrunken tide:
Their shafts were by the sea-breeze worn,
Beneath them waved the verdant corn;
But a few paces from the crown
Of that green summit, farther down,
A fallen pillar on the plain,
Slow sinking in the earth again,
Bedding itself in dark black mould,
Lay moveless, where it first had rolled.
It once had been a pillar high,
And pointing to the starry sky;
But now lay prostrate, its own weight
Now serving but to fix its state,
To sink it in its earthy bed;
I gazed, and to myself I said,
“This pillar lying on the plain
The hand of man might raise again,
And set it as in former days;
But the fall’n spirit who shall raise,
What power on earth? what power in heaven?”
How quickly was an answer given
Unto this voice of my despair!
But now I sat in silence there,
I thought upon the vanished time,
And my irrevocable prime,
My baffled purpose, wasted years,
My sin, my misery—and my tears
Fell thick and fast upon the sands;
I hid my face within my hands
I hid my face within my hands,
For tears are strange that find their way
Under the open eye of day,
Under the broad and glorious sun,
Full in the heavens, as mine have done,
And as upon that day they did,
Unnoticed, unrestrained, unchid.
How long I might have felt them flow
Without a check, I do not know,
But presently, while yet I kept
That attitude of woe, and wept,
A mild voice sounded in mine ears—
“You cannot wash your heart with tears!”
I quickly turned—and, vexed to be
Seen in my spirit’s agony,
In anger had almost replied—
An aged man was at my side;
I think that since my life began,
I never saw an older man,
Than he who stood beside me then,
And with mild accents said again:
“You cannot cleanse your heart with tears,
Though you should weep as many years
As our great Father, when he sat
Uncomforted on Ararat—
This would not help you, and the tear
Which does not heal, will scald and sear.
What is your sorrow?”

Until now
I never had unveiled my woe—
Not that I shunned sweet sympathies,
Man’s words, or woman’s pitying eyes;
But that I felt they were in vain,
And could not help me—for the pain,
The wound which I was doomed to feel,
Man gave not and he could not heal
Man gave not, and he could not heal.
But in this old man’s speech and tone
Was something that allured me on:
I told him all—I did not hide
My sin, my sorrow, or my pride:
I told him how, when I began
First to verge upward to a man,
These thoughts were mine—to dwell alone,
My spirit on its lordly throne,
Hating the vain stir, fierce and loud,
The din of the tumultuous crowd;
And how I thought to arm my soul,
And stablish it in self-controul;
And said I would obey the right,
And would be strong in wisdom’s might,
And bow unto mine own heart’s law,
And keep my heart from speck or flaw,
That in its mirror I might find
A reflex of the Eternal mind,
A glass to give me back the truth—
And how before me from my youth
A phantom ever on the wing,
Appearing now, now vanishing,
Had flitted, looking out from shrine,
From painting, or from work divine
Of poet’s, or of sculptor’s art;
And how I feared it might depart,
That beauty which alone could shed
Light on my life—and then I said,
I would beneath its shadow dwell,
And would all lovely things compel,
All that was beautiful or fair
In art or nature, earth or air,
To be as ministers to me,
To keep me pure, to keep me free
From worldly service, from the chain
Of custom and from earthly stain;
Of custom, and from earthly stain;
And how they kept me for a while,
And did my foolish heart beguile;
Yet all at last did faithless prove,
And, late or soon, betrayed my love;
How they had failed me one by one,
Till now, when youth was scarcely done,
My heart, which I had thought to steep
In hues of beauty, and to keep
Its consecrated home and fane,
That heart was soiled with many a stain,
Which from without and from within
Had gathered there, till all was sin,
Till now I only drew my breath,
I lived but in the hope of death.

While my last words were giving place

To my heart’s anguish, o’er his face
A shadow of displeasure past,
But vanished then again as fast
As the breeze-shadow from the brook;
And with mild words and pitying look
He gently said—
“Ah me, my son,
A weary course your life has run;
And yet it need not be in vain,
That you have suffered all this pain;
And, if mine years might make me bold
To speak, methinks I could unfold
Why in such efforts you could meet
But only misery and defeat.
Yet deem not of us as at strife,
Because you set before your life
A purpose and a loftier aim,
Than the blind lives of men may claim
For the most part—or that you sought,
By fixed resolve and solemn thought,
 y g ,
To lift your being’s calm estate
Out of the range of time and fate.
Glad am I that a thing unseen,
A spiritual Presence, this has been
Your worship, this your young heart stirred—
But yet herein you proudly erred,
Here may the source of woe be found,
You thought to fling, yourself around,
The atmosphere of light and love
In which it was your joy to move—
You thought by efforts of your own
To take at last each jarring tone
Out of your life, till all should meet
In one majestic music sweet—
Deeming that in our own heart’s ground
The root of good was to be found,
And that by careful watering
And earnest tendance we might bring
The bud, the blossom, and the fruit
To grow and flourish from that root—
You deemed we needed nothing more
Than skill and courage to explore
Deep down enough in our own heart,
To where the well-head lay apart,
Which must the springs of being feed,
And that these fountains did but need
The soil that choked them moved away,
To bubble in the open day.
But, thanks to heaven, it is not so,
That root a richer soil doth know
Than our poor hearts could e’er supply,
That stream is from a source more high,
From God it came, to God returns,
Not nourished from our scanty urns,
But fed from his unfailing river,
Which runs and will run on for ever.”
When now he came to heavenly things
And spake of them, his spirit had wings,
His words seemed not his own, but given—
I could have deemed one spake from heaven
Of hope and joy, of life and death,
And immortality through faith,
Of that great change commenced within,
The blood that cleanses from all sin,
That can wash out the inward stain,
And consecrate the heart again,
The voice that clearer and more clear
Doth speak unto the purgèd ear,
The gracious influences given
In a continued stream from heaven,
The balm that can the soul’s hurt heal,
The Spirit’s witness and its seal.

I listened, for unto mine ear

The Word, which I had longed to hear,
Was come at last, the lifeful word
Which I had often almost heard
In some deep silence of my breast—
For with a sense of dim unrest
That word unborn had often wrought,
And struggled in the womb of thought,
As from beneath the smothering earth
The seed strives upward to a birth:
And lo! it now was born indeed—
Here was the answer to my need.

But now we parted, never more

To meet upon that lone sea-shore.
We have not met on earth again,
And scarcely shall—there doth remain
A time, a place where we shall meet,
And have the stars beneath our feet.
Since then I many times have sought
Who this might be, and sometimes thought
It must have been an angel sent
To be a special instrument
And minister of grace to me,
Or deemed again it might be He,
Of whom some say he shall not die,
Till he have seen with mortal eye
The glory of his Lord again:
But this is a weak thought and vain.

We parted, each upon our way—

I homeward, where my glad course lay
Beside those ruins where I sate
On the same morning—desolate,—
With scarcely strength enough to grieve:
And now it was a marvellous eve,
The waters at my feet were bright,
And breaking into isles of light:
The misty sunset did enfold
A thousand floating motes of gold;
The red light seemed to penetrate
Through the worn stone, and re-create
The old, to glorify anew;
And steeping all things through and through
A rich dissolving splendour poured
Through rent and fissure, and restored
The fall’n, the falling and decayed,
Filling the rifts which time had made,
Till the rent masses seemed to meet,
The pillar stand upon its feet,
And tower and cornice, roof and stair
Hung self-upheld in the magic air.
Transfigured thus those temples stood
Upon the margin of the flood,
All glorious as they rose of yore,
Th t di t
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