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Markov Chain Monte Carlo Simulation Methods in Econometrics

  • Chib, Siddhartha
  • Greenberg, Edward

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical literature, its emphasis is on the presentation and explanation of applications to important models that are studied in econometrics. We include a discussion of some implementation issues, the use of the methods in connection with the EM algorithm, and how the methods can be helpful in model specification questions. Many of the applications of these methods are of particular interest to Bayesians, but we also point out ways in which frequentist statisticians may find the techniques useful.

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 12 (1996)
Issue (Month): 03 (August)
Pages: 409-431

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Handle: RePEc:cup:etheor:v:12:y:1996:i:03:p:409-431_00
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  1. 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.
  2. Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, vol. 68(2), pages 339-360, August.
  3. Koop, G. & Osiewalski, J. & Steel, M.F.J., 1994. "Bayesian efficiency analysis with a flexible form : The aim cost function," Discussion Paper 1994-13, Tilburg University, Center for Economic Research.
  4. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  5. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S19-40, Suppl. De.
  6. John Geweke & Michael Keane & David Runkle, 1994. "Alternative computational approaches to inference in the multinomial probit model," Staff Report 170, Federal Reserve Bank of Minneapolis.
  7. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 371-89, October.
  8. Albert, James H & Chib, Siddhartha, 1993. "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 1-15, January.
  9. McCulloch, Robert & Rossi, Peter E., 1994. "An exact likelihood analysis of the multinomial probit model," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 207-240.
  10. Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
  11. Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
  12. Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
  13. Ruud, Paul A., 1991. "Extensions of estimation methods using the EM algorithm," Journal of Econometrics, Elsevier, vol. 49(3), pages 305-341, September.
  14. Koop, Gary, 1994. " Recent Progress in Applied Bayesian Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 8(1), pages 1-34, March.
  15. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November.
  16. James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation for Research in Economics, Yale University.
  17. Chib, Siddhartha, 1993. "Bayes regression with autoregressive errors : A Gibbs sampling approach," Journal of Econometrics, Elsevier, vol. 58(3), pages 275-294, August.
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