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A Comparison of Marginal Likelihood Computation Methods Author info | Abstract | Publisher info | Download info | Related research | Statistics Charles S. Bos () (Vrije Universiteit Amsterdam)
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In a Bayesian analysis, different models can be compared on the basis of the expected or marginal likelihood they attain. Many methods have been devised to compute the marginal likelihood, but simplicity is not the strongest point of most methods. At the same time, the precision of methods is often questionable. In this paper several methods are presented in a common framework. The explanation of the differences is followed by an application, in which the precision of the methods is tested on a simple regression model where a comparison with analytical results is possible.
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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number
02-084/4.
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Date of creation: 17 Sep 2002Date of revision:
Handle: RePEc:dgr:uvatin:20020084Contact details of provider: Web page: http://www.tinbergen.nl/
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Keywords: Marginal likelihood Bayesian analysis. Other versions of this item:
Find related papers by JEL classification: C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
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Gary Koop & Herman K. van Dijk, 1999.
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Pierangelo De Pace, 2005.
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Economics Papers
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