Four remarks are made as a comment on Geweke's (1998) paper which deals with the use of simulation methods for Bayesian econometric models. After a personal remark on the introduction of importance sampling, the danger of simplistic application of Markov Chain Monte Carlo is indicated in the context of a partially identified model. The third remark refers to the fact that Bayesian inference using simulation is nowadays easier than classical inference in models with latent factors such as state space models, models with varying coefficients, limited dependent variables models, truncated regression models, Markovian trend and regime switching models. The final remark is a plea for the econometric integration of inference and decision-making using simulation.
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