Marginal Likelihood Estimation with the Cross-Entropy Method

DOI10.1080/07474938.2014.944474zbMath1491.62193OpenAlexW2235200468MaRDI QIDQ5080510

Eric Eisenstat, Joshua C. C. Chan

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1885/38843

zbMATH Keywords

model selectionimportance samplinglogitprobitdynamic factor modeltime-varying parameter vector autoregressive model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05) Economic time series analysis (91B84) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (11)

Reconciling output gaps: unobserved components model and Hodrick-Prescott filter ⋮ Computing marginal likelihoods via the Fourier integral theorem and pointwise estimation of posterior densities ⋮ Modelling mortality: A bayesian factor-augmented var (favar) approach ⋮ Comparing stochastic volatility specifications for large Bayesian VARs ⋮ The importance of supply and demand for oil prices: Evidence from non‐Gaussianity ⋮ Cross-entropy method for estimation of posterior expectation in Bayesian VAR models ⋮ Comparing hybrid time-varying parameter VARs ⋮ Invariant Inference and Efficient Computation in the Static Factor Model ⋮ Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series ⋮ Specification tests for time-varying parameter models with stochastic volatility ⋮ Bayesian updating and marginal likelihood estimation by cross entropy based importance sampling

Uses Software

• BayesDA

Cites Work

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