Methods for computing marginal data densities from the Gibbs output

DOI10.1016/j.jeconom.2013.03.002zbMath1283.62051OpenAlexW3122707864MaRDI QIDQ2440391

Leonardo Melosi, Cristina Fuentes-Albero

Publication date: 18 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sas.rutgers.edu/virtual/snde/wp/2011-31.pdf

zbMATH Keywords

Gibbs samplermarginal likelihoodBayesian econometricstime series econometricsreciprocal importance sampling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items (2)

Structural analysis with multivariate autoregressive index models ⋮ Striated Metropolis-Hastings sampler for high-dimensional models

Uses Software

• bvarsv
• tsbridge

Cites Work

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• A Gibbs sampler for structural vector autoregressions
• Methods for inference in large multiple-equation Markov-switching models
• Bayesian reduced rank regression in econometrics
• Forecasting in dynamic factor models using Bayesian model averaging
• Marginal Likelihood from the Gibbs Output
• Forecasting in vector autoregressions with many predictors
• Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
• Using simulation methods for bayesian econometric models: inference, development,and communication
• On Gibbs sampling for state space models
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Contemporary Bayesian Econometrics and Statistics

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