A Comparison of Marginal Likelihood Computation Methods
Abstract
In a Bayesian analysis, different models can be compared on the basis of theDownload Info
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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 02-084/4.Length:
Date of creation: 17 Sep 2002
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Handle: RePEc:dgr:uvatin:20020084
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Related research
Keywords: Marginal likelihood; Bayesian analysis.;Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-12-02 (All new papers)
- NEP-CMP-2002-12-02 (Computational Economics)
- NEP-ECM-2002-12-10 (Econometrics)
References
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- Gary Koop & Herman K. van Dijk & Henk Hoek, 1997.
"Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach,"
Tinbergen Institute Discussion Papers
97-078/4, Tinbergen Institute.
- Koop, Gary & Dijk, Herman K. Van, 2000. "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 97(2), pages 261-291, August.
- Gary Koop & Herman K. van Dijk, 1999. "Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach," Tinbergen Institute Discussion Papers 99-072/4, Tinbergen Institute.
- Koop, G. & Dijk, H.K. van, 1999. "Testing for integration using evolving trend and seasonal models: A Bayesian approach," Econometric Institute Report EI 9934/A, Erasmus University Rotterdam, Econometric Institute.
- Hoeting, Jennifer & Raftery, Adrian E. & Madigan, David, 1996. "A method for simultaneous variable selection and outlier identification in linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 22(3), pages 251-270, July.
- Koop, Gary & Potter, Simon M., 1998. "Bayes factors and nonlinearity: Evidence from economic time series1," Journal of Econometrics, Elsevier, vol. 88(2), pages 251-281, November.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Charles S. Bos & Neil Shephard, 2004.
"Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form,"
Economics Papers
2004-W02, Economics Group, Nuffield College, University of Oxford.
- Charles Bos & Neil Shephard, 2006. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form," Econometric Reviews, Taylor and Francis Journals, vol. 25(2-3), pages 219-244.
- Charles S. Bos & Neil Shephard, 2004. "Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form," Tinbergen Institute Discussion Papers 04-015/4, Tinbergen Institute.
- Pierangelo De Pace, 2005. "Grid-Bootstrap Methods vs. Bayesian Analysis. Testing for Structural Breaks in the Conditional Variance of Nominal Interest Rate Spreads - Four Cases in Europe," Econometrics 0509011, EconWPA, revised 07 Sep 2005.
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This item is featured on the following reading lists or Wikipedia pages:- Marginal likelihood in Wikipedia (English)
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