Bayesian Inference in Econometric Models Using Monte Carlo Integration
From MaRDI portal
Publication:4733274
DOI10.2307/1913710zbMath0683.62068OpenAlexW2057565703MaRDI QIDQ4733274
Publication date: 1989
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/4c8684b45d6d4635ca2384145334772469479e9d
importance samplingMonte Carlo integrationmultivariate normalMarkov chain modeleconometric modelsARCH linear modelautomatic rescalingnumerical approximation of a posterior momentrelative numerical efficiencyStudent t approximations
Applications of statistics to economics (62P20) Bayesian inference (62F15) Numerical integration (65D30) Probabilistic methods, stochastic differential equations (65C99)
Related Items
Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility 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, 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, Efficient high-dimensional importance sampling, A new Monte Carlo method for estimating marginal likelihoods, Merging MCMC subposteriors through Gaussian-process approximations, Bayesian estimation and forecasting in nonlinear models. Application to an LSTAR model, Testing the assumptions behind importance sampling, 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, Bandwidth selection in pre-smoothed particle filters, A new method for evaluation of the Fisher information matrix for discrete mixed effect models using Monte Carlo sampling and adaptive Gaussian quadrature, Systemic decision making in AHP: a Bayesian approach, Low-rank separated representation surrogates of high-dimensional stochastic functions: application in Bayesian inference, Posterior analysis of state space model with spherical symmetricity, Simulation-based fully Bayesian experimental design for mixed effects models, On Monte Carlo methods for estimating ratios of normalizing constants, 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, Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations, Implicit estimation of ecological model parameters, Bayesian reduced rank regression in econometrics, Modeling publication bias using weighted distributions in a Bayesian framework., A variational maximization-maximization algorithm for generalized linear mixed models with crossed random effects, Error of calculating the optimal Bayesian estimate using the Monte Carlo method in nonlinear problems, Nonlinear and nonnormal filters using Monte Carlo methods, Posterior exploration based sequential Monte Carlo for global optimization, A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence, Computing highly accurate confidence limits from discrete data using importance sampling, Particle efficient importance sampling, Inference in two-piece location-scale models with Jeffreys priors, Laplace approximation for logistic Gaussian process density estimation and regression, Bayesian analysis of stochastic volatility models with fat-tails and correlated errors, Efficient importance sampling in low dimensions using affine arithmetic, From EM to data augmentation: the emergence of MCMC Bayesian computation in the 1980s, Efficient simulations for a Bernoulli mixture model of portfolio credit risk, Demystifying double robustness: a comparison of alternative strategies for estimating a population mean from incomplete data, A tutorial on Bayes factor estimation with the product space method, Bayesian testing of restrictions on vector autoregressive models, Maximum likelihood estimation of partially observed diffusion models, Is a voluntary approach an effective environmental policy instrument?: A case for environmental management systems, Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation, ARCH modeling in finance. A review of the theory and empirical evidence, Bayes inference in the Tobit censored regression model, Monte Carlo evaluation of multivariate Student's t probabilities, Sequentially adaptive Bayesian learning algorithms for inference and optimization, Importance sampling from posterior distributions using copula-like approximations, Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function, An iterative version of the adaptive Gaussian mixture filter, Consistent estimation of the accuracy of importance sampling using regenerative simulation, Modelling and forecasting exchange rates with a Bayesian time-varying coefficient model, Bayesian fan charts for U.K. Inflation: Forecasting and sources of uncertainty in an evolving monetary system, The HESSIAN method: highly efficient simulation smoothing, in a nutshell, Forecasting time series with common seasonal patterns (with discussion), A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation, On some properties of Markov chain Monte Carlo simulation methods based on the particle filter, Improving MCMC, using efficient importance sampling, Learning Bayesian networks for discrete data, Bayesian causal effects in quantiles: accounting for heteroscedasticity, Bayesian analysis of two dependent \(2\times 2\) contingency tables, The performance of German firms in the business-related service sectors revisited: Differential evolution Markov chain estimation of the multinomial probit model, Importance sampling-based estimation over AND/OR search spaces for graphical models, Sequential Monte Carlo methods for joint detection and tracking of multiaspect targets in infrared radar images, Bayesian analysis of logit models using natural conjugate priors, SampleSearch: importance sampling in presence of determinism, Model weights for model choice and averaging, Bayesian exploratory factor analysis, Flexible modeling of conditional distributions using smooth mixtures of asymmetric Student \(t\) densities, Bayesian inference for circular distributions with unknown normalising constants, Particle filters for continuous likelihood evaluation and maximisation, A simulation approach to the problem of computing Cox's statistic for testing nonnested models, On the use of stochastic approximation Monte Carlo for Monte Carlo integration, Estimation of dynamic and ARCH Tobit models, A regularized bridge sampler for sparsely sampled diffusions, Nonlinear random effects mixture models: maximum likelihood estimation via the EM algorithm, A Bayesian analysis of simultaneous equation models by combining recursive analytical and numerical approaches, 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?, An empirical analysis of earnings dynamics among men in the PSID: 1968--1989, Robust Bayesian displays for standard inferences concerning a normal mean, A general approach to Bayesian portfolio optimization, Financial econometrics: Past developments and future challenges, Importance sampling in Bayesian networks using probability trees., 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, A Bayesian approach to dynamic macroeconomics, Asymptotic Bayesian analysis based on a limited information estimator, Maximum likelihood estimation of factor and ideal point models for paired comparison data, Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration, The two-piece normal, binormal, or double Gaussian distribution: its origin and rediscoveries, A Review of Modern Computational Algorithms for Bayesian Optimal Design, Bayesian estimation and model comparison for linear dynamic panel models with missing values, Applications of Laplace’s method in Bayesian analysis and related topics, Certified Dimension Reduction for Bayesian Updating with the Cross-Entropy Method, Distributed computation for marginal likelihood based model choice, Modified efficient importance sampling for partially non‐Gaussian state space models, A generalized bivariate mixture model for stock price volatility and trading volume, A population Monte Carlo scheme with transformed weights and its application to stochastic kinetic models, Rare Event Estimation for Computer Models, Bayesian Model Assessment and Comparison Using Cross-Validation Predictive Densities, Granger-causal analysis of GARCH models: A Bayesian approach, Prediction of Individual Long-term Outcomes in Smoking Cessation Trials Using Frailty Models, Adaptive importance sampling in monte carlo integration, Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods, Efficient particle smoothing for Bayesian inference in dynamic survival models, Editors' Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics, Bayesian Analysis of DSGE Models, Nonlinear and nonnormal filter using importance sampling: antithetic monte carlo integration, 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 THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES, NONSTANDARD CENTRAL LIMIT THEOREMS FOR MARKOV CHAINS, Method G: Uncertainty Quantification for Distributed Data Problems Using Generalized Fiducial Inference, A Survey of Sequential Monte Carlo Methods for Economics and Finance, Disparity, Shortfall, and Twice-Endogenous HARA Utility, The dynamic factor network model with an application to international trade, Notes on misspecifying the random effects distribution regarding analysis under the AB/BA crossover trial in dichotomous data – a Monte Carlo evaluation, SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration, Periodic autoregressive stochastic volatility, A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood, Real-time rational expectations and indeterminacy, A bayesian analysis of trend determination in economic time series, Partially censored posterior for robust and efficient risk evaluation, The characterization of Monte Carlo errors for the quantification of the value of forensic evidence, State Space Modeling & Bayesian Inference with Computational Intelligence, Properties of the bridge sampler with a focus on splitting the MCMC sample, Cross-entropy method for estimation of posterior expectation in Bayesian VAR models, Information Theoretic and Entropy Methods: An Overview, Generalized Safety First and a New Twist on Portfolio Performance, A MCMC algorithm to fit a general exchangeable model, Bayesian analysis of periodic asymmetric power GARCH models, 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, Alternative sampling methods for estimating multivariate normal probabilities, Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model, Methods for computing marginal data densities from the Gibbs output, A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?, Dynamic filtering of static dipoles in magnetoencephalography, Bayesian model comparison for compartmental models with applications in positron emission tomography, Generalized dynamic panel data models with random effects for cross-section and time, A Bayesian approach to computing posterior distribution and quantile functions, Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach, Monte Carlo sampling from the quantum state space. I, 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, An efficient computational approach for prior sensitivity analysis and cross‐validation, Two-Stage Importance Sampling With Mixture Proposals, Unnamed Item, Dirac Mixture Approximation for Nonlinear Stochastic Filtering, Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations, Importance sampling algorithms for Bayesian networks: principles and performance, New proposals for the quantification of qualitative survey data, A New Approach to Importance Sampling in Taylor’s Stochastic Volatility Model, Transformations and Hardy--Krause Variation, Semiparametric thurstonian models for recurrent choices: a Bayesian analysis, A Bayesian Hierarchical Approach for Combining Case‐Control and Prospective Studies, Learning parameters of Bayesian networks from incomplete data via importance sampling, BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION, Efficient estimation and filtering for multivariate jump-diffusions, Relevance of functional flexibility for heterogeneous sales response models: a comparison of parametric and semi-nonparametric models, Seminonparametric Bayesian estimation of the asymptotically ideal production model, Sequential Monte Carlo methods for multi-aircraft trajectory prediction in air traffic management, Factor analysis with (mixed) observed and latent variables in the exponential family, BETTER CONFIDENCE INTERVALS FOR IMPORTANCE SAMPLING, Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling, Safe adaptive importance sampling: a mixture approach, Layer Sampling, Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk, Bayesian shrinkage in mixture-of-experts models: identifying robust determinants of class membership, A Bayesian Analysis of Unit Roots and Structural Breaks in the Level, Trend, and Error Variance of Autoregressive Models of Economic Series, A Bayesian analysis of log-periodic precursors to financial crashes, Regenerative Markov Chain Importance Sampling, The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis, Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form, Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models, Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models, Bayesian and Non Bayesian Estimations on the Exponentiated Modified Weibull Distribution for Progressive Censored Sample, Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds, Identification of peer effects using group size variation, Generalized multiple importance sampling, Adaptive mixture importance sampling, Keeping the balance -- bridge sampling for marginal likelihood estimation in finite mixture, mixture of experts and Markov mixture models, Moment Conditions and Bayesian Non-Parametrics, On markov chain monte carlo methods for nonlinear and non-gaussian state-space models, Reconciling Curvature and Importance Sampling Based Procedures for Summarizing Case Influence in Bayesian Models, Bayesian regression analysis of data with censored initiating and terminating times: applications to aids, Ensemble Kalman Sampler: Mean-field Limit and Convergence Analysis, ESTIMATION OF DYNAMIC DISCRETE CHOICE MODELS BY MAXIMUM LIKELIHOOD AND THE SIMULATED METHOD OF MOMENTS, Bayesian inference and model comparison for random choice structures, Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models, On the fractional moments of a truncated centered multivariate normal distribution, Using simulation methods for bayesian econometric models: inference, development,and communication, Bayes estimates of muIti-criteria decision alternatives using Monte Carlo integration, Metropolized Randomized Maximum Likelihood for Improved Sampling from Multimodal Distributions, Bayesian analysis of nested logit model by Markov chain Monte Carlo., Bayesian bootstrap multivariate regression
