This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Efficient estimate of Bayes factors from Reversible Jump output

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Bartolucci Francesco () (Department of Economics, University of Urbino, Italy)
Mira Antonietta () (Department of Economics, University of Insubria, Italy)
Abstract

We exend Meng and Wong (1996) identity from a fixed to a varying dimentional setting. The identity is a very powerful tool to estimate ratios of normalizing constants and thus can be used to evaluate Bayes factors. The extention is driven by the reversibler jump algorithm so that the output from the semplar can be directly used to efficiently estimate the required Bayes factor. Two applications, involving linear and logistic regression models, illustrate the advantages of the suggested approach with respect to alternatives previously proposed in the literature.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://eco.uninsubria.it/dipeco/Quaderni/files/QF2003_33.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf0314.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 16 pages
Date of creation: Oct 2003
Date of revision:
Handle: RePEc:ins:quaeco:qf0314

Contact details of provider:
Postal: Via Ravasi 2-21100 Varese
Web page: http://eco.uninsubria.it/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Segreteria Dipartimento).

Related research
Keywords: Bayes factor; Bayesian modeel choice; Marginal likelihood; Markov chain Monte Carlo; Reversible jump;

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? The most prolific authors have over 700 items listed on IDEAS.

This page was last updated on 2009-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.