Marginal likelihood calculation for the Gelfand–Dey and Chib methods

A trade-off exists between the Gelfand and Dey (1994) and Chib (1995) methods to calculate the marginal likelihood in Bayesian estimation. Using the Markov Chain Monte Carlo method, we demonstrate that the performance of the two methods is fairly close.

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Year of publication:	2012
Authors:	Liu, Chun ; Liu, Qing
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 2, p. 200-203
Publisher:	Elsevier
Subject:	Model comparison \| Structural break \| Heterogeneous autoregressive model \| Bayesian estimation

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Type of publication:	Article
Classification:	C11 - Bayesian Analysis ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010576454