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Further experience in Bayesian analysis using Monte Carlo integration

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  • van Dijk, H. K.
  • Kloek, T.

Abstract

An earlier paper [Kloek and Van Dijk (1978)] is extended in three ways. First, Monte Carlo integration is performed in a nine-dimensional parameter space of Klein's podel I [Klein (1950)]. Second, Monte Carlo is used as a tool for the elicitation of a uniform prior on a finite region by making use of several types of prior information. Third, special attention is given to procedures for the construction of importance functions which make use of nonlinear optimization methods.
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Suggested Citation

  • van Dijk, H. K. & Kloek, T., 1980. "Further experience in Bayesian analysis using Monte Carlo integration," Journal of Econometrics, Elsevier, vol. 14(3), pages 307-328, December.
    • Handle: RePEc:eee:econom:v:14:y:1980:i:3:p:307-328
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    References listed on IDEAS

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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. van Dijk, H. K. & Kloek, T., 1978. "Posterior Analysis Of Klein'S Model," Econometric Institute Archives 272173, Erasmus University Rotterdam.
    3. Tishler, Asher & Zang, Israel, 1979. "A switching regression method using inequality conditions," Journal of Econometrics, Elsevier, vol. 11(2-3), pages 259-274.
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