Bayesian Inference in Econometric Models Using Monte Carlo Integration
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Publication:4733274
DOI10.2307/1913710zbMath0683.62068OpenAlexW2057565703MaRDI QIDQ4733274
Publication date: 1989
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/4c8684b45d6d4635ca2384145334772469479e9d
importance samplingMonte Carlo integrationmultivariate normalMarkov chain modeleconometric modelsARCH linear modelautomatic rescalingnumerical approximation of a posterior momentrelative numerical efficiencyStudent t approximations
Applications of statistics to economics (62P20) Bayesian inference (62F15) Numerical integration (65D30) Probabilistic methods, stochastic differential equations (65C99)
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