A Comparison of Marginal Likelihood Computation Methods
AbstractIn a Bayesian analysis, different models can be compared on the basis of the
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 02-084/4.
Date of creation: 17 Sep 2002
Date of revision:
Contact details of provider:
Web page: http://www.tinbergen.nl
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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
- 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.
- Charles S. Bos & Neil Shephard, 2004.
"Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form,"
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.
- Marginal likelihood in Wikipedia (English)
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (webmaster-tinbergen).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.