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Bayesian model comparison by Markov chain simulation: Illustration using stock market data

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  • Tsionas, Efthymios G.

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  • Tsionas, Efthymios G., 2000. "Bayesian model comparison by Markov chain simulation: Illustration using stock market data," Research in Economics, Elsevier, vol. 54(4), pages 403-416, December.
    • Handle: RePEc:eee:reecon:v:54:y:2000:i:4:p:403-416
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    References listed on IDEAS

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    1. Wasserman, J., 1992. "How effective are excise tax increases in reducing cigarette smoking?," American Journal of Public Health, American Public Health Association, vol. 82(1), pages 19-20.
    2. Hall, Peter & Hart, Jeffrey D., 1990. "Nonparametric regression with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 36(2), pages 339-351, December.
    3. John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report 148, Federal Reserve Bank of Minneapolis.
    4. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 19-40, Suppl. De.
    5. Tsionas, Efthymios G., 1998. "Monte Carlo inference in econometric models with symmetric stable disturbances," Journal of Econometrics, Elsevier, vol. 88(2), pages 365-401, November.
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    Cited by:

    1. Thomas Brenner & Claudia Werker, 2006. "A Practical Guide to Inference in Simulation Models," Papers on Economics and Evolution 2006-02, Philipps University Marburg, Department of Geography.
    2. Thomas Brenner & Claudia Werker, 2007. "A Taxonomy of Inference in Simulation Models," Computational Economics, Springer;Society for Computational Economics, vol. 30(3), pages 227-244, October.

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