Bayesian Inference in Econometric Models Using Monte Carlo Integration
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Cited in
(only showing first 100 items - show all)- On the use of stochastic approximation Monte Carlo for Monte Carlo integration
- Bayesian statistical computations of nonlinear financial time series models: a survey with illustrations
- Nonlinear random effects mixture models: maximum likelihood estimation via the EM algorithm
- Efficient and accurate approximate Bayesian inference with an application to insurance data
- Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling
- Is the market price of risk infinite?
- A general approach to Bayesian portfolio optimization
- Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo
- Antithetic acceleration of Monte Carlo integration in Bayesian inference
- Exact predictive densities for linear models with ARCH disturbances
- Bayesian reduced rank regression in econometrics
- Modeling publication bias using weighted distributions in a Bayesian framework.
- ARCH modeling in finance. A review of the theory and empirical evidence
- Bayes inference in the Tobit censored regression model
- Bayesian exploratory factor analysis
- Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
- Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model
- Forecasting time series with common seasonal patterns (with discussion)
- Bayesian analysis of logit models using natural conjugate priors
- Posterior simulation and Bayes factors in panel count data models
- Block recursion and structural vector autoregressions
- Analysis of the posterior for spline estimators in logistic regression
- Asymptotic Bayesian analysis based on a limited information estimator
- Bayesian estimation and forecasting in nonlinear models. Application to an LSTAR model
- Reconciling the term structure of interest rates with the consumption-based ICAP model
- General hit-and-run Monte Carlo sampling for evaluating multidimensional integrals
- Bayesian analysis of long memory and persistence using ARFIMA models
- Monte-Carlo evaluation of multivariate normal probabilities
- Measuring information loss due to inconsistencies in duration data from longitudinal surveys
- On Monte Carlo methods for estimating ratios of normalizing constants
- The finite sample properties of simultaneous equations' estimates and estimators. Bayesian and non-Bayesian approaches
- Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
- Nonlinear and nonnormal filters using Monte Carlo methods
- An empirical analysis of earnings dynamics among men in the PSID: 1968--1989
- Robust Bayesian displays for standard inferences concerning a normal mean
- Importance sampling in Bayesian networks using probability trees.
- A Bayesian approach to dynamic macroeconomics
- Maximum likelihood estimation of factor and ideal point models for paired comparison data
- Efficient importance sampling in mixture frameworks
- Bayesian option pricing using mixed normal heteroskedasticity models
- A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
- A new Monte Carlo method for estimating marginal likelihoods
- Merging MCMC subposteriors through Gaussian-process approximations
- A new method for evaluation of the Fisher information matrix for discrete mixed effect models using Monte Carlo sampling and adaptive Gaussian quadrature
- Posterior analysis of state space model with spherical symmetricity
- Simulation-based fully Bayesian experimental design for mixed effects models
- A variational maximization-maximization algorithm for generalized linear mixed models with crossed random effects
- Posterior exploration based sequential Monte Carlo for global optimization
- Efficient importance sampling in low dimensions using affine arithmetic
- Efficient simulations for a Bernoulli mixture model of portfolio credit risk
- Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation
- Sequentially adaptive Bayesian learning algorithms for inference and optimization
- Importance sampling from posterior distributions using copula-like approximations
- Importance sampling-based estimation over AND/OR search spaces for graphical models
- A simulation approach to the problem of computing Cox's statistic for testing nonnested models
- Estimation of dynamic and ARCH Tobit models
- Financial econometrics: Past developments and future challenges
- Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
- Bayesian analysis of nested logit model by Markov chain Monte Carlo.
- Bayesian bootstrap multivariate regression
- Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
- A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
- Real-time rational expectations and indeterminacy
- A survey of Bayesian predictive methods for model assessment, selection and comparison
- Case-deletion importance sampling estimators: central limit theorems and related results
- Use in practice of importance sampling for repeated MCMC for Poisson models
- A Bayesian approach to computing posterior distribution and quantile functions
- Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
- Efficient estimation and filtering for multivariate jump-diffusions
- Safe adaptive importance sampling: a mixture approach
- Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds
- Efficient particle smoothing for Bayesian inference in dynamic survival models
- The dynamic factor network model with an application to international trade
- Partially censored posterior for robust and efficient risk evaluation
- Properties of the bridge sampler with a focus on splitting the MCMC sample
- Semiparametric thurstonian models for recurrent choices: a Bayesian analysis
- Seminonparametric Bayesian estimation of the asymptotically ideal production model
- Bayesian shrinkage in mixture-of-experts models: identifying robust determinants of class membership
- Generalized multiple importance sampling
- Keeping the balance -- bridge sampling for marginal likelihood estimation in finite mixture, mixture of experts and Markov mixture models
- Bayesian inference and model comparison for random choice structures
- Periodic autoregressive stochastic volatility
- Alternative sampling methods for estimating multivariate normal probabilities
- Methods for computing marginal data densities from the Gibbs output
- Dynamic filtering of static dipoles in magnetoencephalography
- Generalized dynamic panel data models with random effects for cross-section and time
- Theoretical analysis and practical insights on importance sampling in Bayesian networks
- A computational method for ranking \(L\)-products of parameters
- Bayesian estimation via sequential Monte Carlo sampling-Constrained dynamic systems
- Importance sampling algorithms for Bayesian networks: principles and performance
- Learning parameters of Bayesian networks from incomplete data via importance sampling
- Relevance of functional flexibility for heterogeneous sales response models: a comparison of parametric and semi-nonparametric models
- Factor analysis with (mixed) observed and latent variables in the exponential family
- Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling
- The two-piece normal, binormal, or double Gaussian distribution: its origin and rediscoveries
- Approximating cross-validatory predictive evaluation in Bayesian latent variable models with integrated IS and WAIC
- Lazy ABC
- Bayesian variable selection for latent class analysis using a collapsed Gibbs sampler
- Bayesian analysis of periodic asymmetric power GARCH models
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
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