Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo

From MaRDI portal
Publication:4153457

DOI10.2307/1913641zbMath0376.62014OpenAlexW2109690032MaRDI QIDQ4153457

Teun Kloek, Hermann K. Van Dijk

Publication date: 1978

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/272139/files/erasmus076.pdf



Related Items

Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market, Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models, Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data, 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, The implementation of the bayesian paradigm, Efficient importance sampling in mixture frameworks, Bayesian option pricing using mixed normal heteroskedasticity models, Adaptive importance sampling in monte carlo integration, Numerical simulations of stochastic inflation using importance sampling, Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics, Testing the assumptions behind importance sampling, A generalization of the compound rayleigh distribution: using a bayesian method on cancer survival times, A numerical Bayesian test for cointegration of AR processes, Structural time series modeling: A Bayesian approach, BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES, Monte-Carlo evaluation of multivariate normal probabilities, Job search theory, labour supply and unemployement duration, Posterior analysis of state space model with spherical symmetricity, A Survey of Sequential Monte Carlo Methods for Economics and Finance, Antithetic acceleration of Monte Carlo integration in Bayesian inference, Exact predictive densities for linear models with ARCH disturbances, The finite sample properties of simultaneous equations' estimates and estimators. Bayesian and non-Bayesian approaches, A note on a posterior approximation in a heteroscedastic model, A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood, Optimal privatization portfolios in the presence of arbitrary risk aversion, On the evaluation of poly-t density functions, Numerical stochastic inflation constrained by frozen noise, CDGCN: conditional de novo drug generative model using graph convolution networks, The method of forced probabilities: a computation trick for Bayesian model evidence, Effective error floor estimation based on importance sampling with the uniform distribution, Modified efficient importance sampling for partially non‐Gaussian state space models, New Bayesian approach to the estimation in simultaneous equations model, From EM to data augmentation: the emergence of MCMC Bayesian computation in the 1980s, Further experience in Bayesian analysis using Monte Carlo integration, Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model, THE ET INTERVIEW: ADRIAN PAGAN, Methods for computing marginal data densities from the Gibbs output, Model occurrence and model selection in panel data sets, Do UK stock prices deviate from fundamentals?, Bayes inference in the Tobit censored regression model, Importance sampling from posterior distributions using copula-like approximations, Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function, Aggregating heterogeneous-agent models with permanent income shocks, A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation, A Bayesian analysis of payday loans and their regulation, Improving MCMC, using efficient importance sampling, Use of approximate bayesian methods for the block and basu bivariate exponential distribution, BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION, Ranking and estimation of related means in two—way models—a Bayesian approach, Seminonparametric Bayesian estimation of the asymptotically ideal production model, Bayesian regression analysis using poly-t densities, Safe adaptive importance sampling: a mixture approach, Estimating the Effect of Parameter Uncertainty in Repeated Sample Surveys, Infinite-dimensional gradient-based descent for alpha-divergence minimisation, A Bayesian analysis of simultaneous equation models by combining recursive analytical and numerical approaches, Bayesian econometrics and forecasting. (With comments), GIBBS SAMPLERS FOR A SET OF SEEMINGLY UNRELATED REGRESSIONS, The robustness of simulation-based Markovian transition probabilities for ultra-small samples of non-performing credit, Bayesian analysis of dichotomous quantal response models, Monte Carlo computation of the mean of a function with convex support, Using simulation methods for bayesian econometric models: inference, development,and communication, Some remarks on the simulation revolution in bayesian econometric inference, Posterior moments computed by mixed integration, A 1-1 poly-t random variable generator with application to Monte Carlo integration, Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration, Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables., Bayesian bootstrap multivariate regression, Bayesian analysis of switching regression models, Some aspects of prior elicitation problems in disequilibrium models