Methods for Computing Marginal Data Densities from the Gibbs Output
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- Fuentes-Albero, Cristina & Melosi, Leonardo, 2013. "Methods for computing marginal data densities from the Gibbs output," Journal of Econometrics, Elsevier, vol. 175(2), pages 132-141.
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More about this item
Keywords
Marginal likelihood; Gibbs sampler; time series econometrics; Bayesian econometrics; reciprocal importance sampling;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2011-12-13 (Econometrics)
- NEP-ETS-2011-12-13 (Econometric Time Series)
Statistics
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