Bayesian Inference in Econometric Models Using Monte Carlo Integration

DOI10.2307/1913710MaRDI QIDQ4733274zbMATH OpenOpenAlexFDO

Authors John Geweke

Publication date 1989

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/4c8684b45d6d4635ca2384145334772469479e9d

zbMATH Keywords

importance samplingmultivariate normalMonte Carlo integrationMarkov chain modeleconometric modelsARCH linear modelautomatic rescalingnumerical approximation of a posterior momentrelative numerical efficiencyStudent t approximations

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99) Numerical integration (65D30)

Recommendations

• Bayesian Econometrics
• Bayesian Econometric Methods
• scientific article; zbMATH DE number 233044
• Bayesian analysis in econometrics
• scientific article; zbMATH DE number 4098587
• scientific article; zbMATH DE number 3993492
• scientific article; zbMATH DE number 941484
• A Bayesian approach to dynamic macroeconomics

Cited in

(only showing first 100 items - show all)

• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Consistent estimation of the accuracy of importance sampling using regenerative simulation
• New proposals for the quantification of qualitative survey data
• Transformations and Hardy-Krause variation
• Bayesian testing of restrictions on vector autoregressive models
• Bayesian estimation via sequential Monte Carlo sampling-Constrained dynamic systems
• A survey of Bayesian predictive methods for model assessment, selection and comparison
• Case-deletion importance sampling estimators: central limit theorems and related results
• Two-Stage Importance Sampling With Mixture Proposals
• Notes on misspecifying the random effects distribution regarding analysis under the AB/BA crossover trial in dichotomous data – a Monte Carlo evaluation
• scientific article; zbMATH DE number 7626720 (Why is no real title available?)
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Cross-entropy method for estimation of posterior expectation in Bayesian VAR models
• Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation
• The performance of German firms in the business-related service sectors revisited: Differential evolution Markov chain estimation of the multinomial probit model
• Bayesian option pricing using mixed normal heteroskedasticity models
• Bayesian Analysis of DSGE Models
• Nonlinear and nonnormal filters using Monte Carlo methods
• Parameter estimation for stable distributions and their mixture
• Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
• Bayesian model comparison for compartmental models with applications in positron emission tomography
• Layer sampling
• Implicit estimation of ecological model parameters
• Prediction of individual long-term outcomes in smoking cessation trials using frailty models
• Sparsification of the regularized magnetic Laplacian with multi-type spanning forests
• Analysis of the posterior for spline estimators in logistic regression
• Importance sampling in Bayesian networks using probability trees.
• Forecasting time series with common seasonal patterns (with discussion)
• Flexible modeling of conditional distributions using smooth mixtures of asymmetric Student \(t\) densities
• Approximating cross-validatory predictive evaluation in Bayesian latent variable models with integrated IS and WAIC
• Sequential Monte Carlo methods for joint detection and tracking of multiaspect targets in infrared radar images
• Model weights for model choice and averaging
• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
• Moment conditions and Bayesian non-parametrics
• Reconciling curvature and importance sampling based procedures for summarizing case influence in Bayesian models
• Particle filters for continuous likelihood evaluation and maximisation
• Generalized dynamic panel data models with random effects for cross-section and time
• Bayesian analysis of long memory and persistence using ARFIMA models
• Bayesian analysis of two dependent \(2\times 2\) contingency tables
• Importance sampling from posterior distributions using copula-like approximations
• Rare Event Estimation for Computer Models
• On the use of stochastic approximation Monte Carlo for Monte Carlo integration
• Determine the number of states in hidden Markov models via marginal likelihood
• A new method for evaluation of the Fisher information matrix for discrete mixed effect models using Monte Carlo sampling and adaptive Gaussian quadrature
• Modified efficient importance sampling for partially non‐Gaussian state space models
• Bayesian point estimation of the cointegration space
• On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
• Modeling the diffusion of scientific publications
• Generalized multiple importance sampling
• A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
• Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
• Applications of Laplace’s method in Bayesian analysis and related topics
• Generalized Safety First and a New Twist on Portfolio Performance
• A simulation approach to the problem of computing Cox's statistic for testing nonnested models
• Error of calculating the optimal Bayesian estimate using the Monte Carlo method in nonlinear problems
• A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
• Bayesian analysis of instrumental variable models: acceptance-rejection within direct Monte Carlo
• Monte-Carlo evaluation of multivariate normal probabilities
• Estimating cross-validatory predictive p-values with integrated importance sampling for disease mapping models
• Bayes inference in the Tobit censored regression model
• A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
• Learning parameters of Bayesian networks from incomplete data via importance sampling
• Efficient high-dimensional importance sampling
• On Monte Carlo methods for estimating ratios of normalizing constants
• On the fractional moments of a truncated centered multivariate normal distribution
• A new Monte Carlo method for estimating marginal likelihoods
• Merging MCMC subposteriors through Gaussian-process approximations
• Statistical inference with anchored Bayesian mixture of regressions models: an illustrative study of allometric data
• The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
• Use in practice of importance sampling for repeated MCMC for Poisson models
• A computational method for ranking \(L\)-products of parameters
• Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk
• Bayesian estimation and model comparison for linear dynamic panel models with missing values
• A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?
• The finite sample properties of simultaneous equations' estimates and estimators. Bayesian and non-Bayesian approaches
• A bayesian analysis of trend determination in economic time series
• A Bayesian Hierarchical Approach for Combining Case‐Control and Prospective Studies
• Efficient estimation and filtering for multivariate jump-diffusions
• Bayesian statistical computations of nonlinear financial time series models: a survey with illustrations
• Efficient particle smoothing for Bayesian inference in dynamic survival models
• Bayesian bootstrap multivariate regression
• Importance sampling-based estimation over AND/OR search spaces for graphical models
• Metropolized randomized maximum likelihood for improved sampling from multimodal distributions
• Bayesian variable selection for latent class analysis using a collapsed Gibbs sampler
• Bayesian analysis of logit models using natural conjugate priors
• Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo
• The dynamic factor network model with an application to international trade
• Sequential Monte Carlo methods for multi-aircraft trajectory prediction in air traffic management
• Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
• Bayesian reduced rank regression in econometrics
• Simulation-based fully Bayesian experimental design for mixed effects models
• A Review of Modern Computational Algorithms for Bayesian Optimal Design
• The characterization of Monte Carlo errors for the quantification of the value of forensic evidence
• An overview of stochastic approximation Monte Carlo
• Bayesian regression analysis of data with censored initiating and terminating times: applications to aids
• Ensemble Kalman sampler: mean-field limit and convergence analysis
• Improving MCMC, using efficient importance sampling
• Is the market price of risk infinite?

This page was built for publication: Bayesian Inference in Econometric Models Using Monte Carlo Integration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4733274)