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Monte Carlo Analysis Of Skew Posterior Distributions: An Illustrative Econometric Example

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  • van Dijk, H. K.
  • Kloek, T.

Abstract

The posterior distribution of a small scale illustrative econometric model is used to compare symmetric simple importance sampling with asymmetric simple importance sampling. The numerical results include posterior first and second order moments,- numerical error estimates of the first order moments, posterior modes, univariate marginal posterior densities and bivariate marginal posterior densities plotted in three-dimensional figures.

Suggested Citation

  • van Dijk, H. K. & Kloek, T., 1982. "Monte Carlo Analysis Of Skew Posterior Distributions: An Illustrative Econometric Example," Econometric Institute Archives 272268, Erasmus University Rotterdam.
    • Handle: RePEc:ags:eureia:272268
    DOI: 10.22004/ag.econ.272268
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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., 1980. "Further experience in Bayesian analysis using Monte Carlo integration," Journal of Econometrics, Elsevier, vol. 14(3), pages 307-328, December.
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    Cited by:

    1. van Dijk, H. K., 1987. "Some Advances In Bayesian Estimation Methods Using Monte Carlo Integration," Econometric Institute Archives 272361, Erasmus University Rotterdam.

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