论文信息 - Bayesian Inference in Econometric Models Using Monte Carlo Integration

Bayesian Inference in Econometric Models Using Monte Carlo Integration

Methods for the systematic application of Monte Carlo integration with importance sampling to Bayesian inference are developed. Conditions under which the numerical approximation converges almost surely to the true value with the number of Monte Carlo replications, and its numerical accuracy may be assessed reliably, are given. Importance sampling densities are derived from multivariate normal or student approximations to the posterior density. These densities are modified by automatic rescaling along each axis. The concept of relative numerical efficiency is introduced to evaluate the adequacy of a chosen importance sampling density. Applications in two illustrative models are presented. Copyright 1989 by The Econometric Society.

J. Geweke | John Geweke

[1] J. Hammersley,et al. Monte Carlo Methods , 1965 .

[2] Philip Rabinowitz,et al. Methods of Numerical Integration , 1985 .

[3] Burton H. Singer,et al. The Representation of Social Processes by Markov Models , 1976, American Journal of Sociology.

[4] T. Kloek,et al. Bayesian estimates of equation system parameters, An application of integration by Monte Carlo , 1976 .

[5] P. Billingsley,et al. Probability and Measure , 1980 .

[6] B. Singer,et al. Estimating malaria incidence and recovery rates from panel surveys. , 1980 .

[7] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[8] Luc Bauwens,et al. Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo , 1984 .

[9] L. Bauwens,et al. A 1-1 poly-t Random variable generator with application to Monte Carlo integration , 1985 .

[10] Herman K. van Dijk,et al. Posterior moments computed by mixed integration , 1985 .

[11] A. Gallant,et al. Explicitly infinite-dimensional Bayesian analysis of production technologies , 1985 .

[12] J. Geweke,et al. Exact Inference for Continuous Time Markov Chain Models , 1986 .

[13] J. Geweke. Dynamic econometric modeling: Exact inference in models with autoregressive conditional heteroscedasticity , 1988 .

[14] J. Geweke,et al. Antithetic acceleration of Monte Carlo integration in Bayesian inference , 1988 .