L. Bauwens Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo 9783540133841

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Автор: L. Bauwens
Название: Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo
ISBN: 9783540133841
Издательство: Springer
Классификация:

Экономическая теория и философия

Вероятность и статистика

ISBN-10: 3540133844
Обложка/Формат: Paperback
Страницы: 114
Вес: 0.22 кг.
Дата издания: 01.09.1984
Серия: Lecture Notes in Economics and Mathematical Systems
Язык: English
Размер: 244 x 170 x 7
Основная тема: Economics
Ссылка на Издательство: Link
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Поставляется из: Германии
Описание: In their review of the Bayesian analysis of simultaneous equation systems, Dr ze and Richard (1983) - hereafter DR - express the following viewpoint about the present state of development of the Bayesian full information analysis of such sys- tems i) the method allows a flexible specification of the prior density, including well defined noninformative prior measures; ii) it yields exact finite sample posterior and predictive densities. However, they call for further developments so that these densities can be eval- uated through numerical methods, using an integrated software packa e. To that end, they recommend the use of a Monte Carlo technique, since van Dijk and Kloek (1980) have demonstrated that the integrations can be done and how they are done. In this monograph, we explain how we contribute to achieve the developments suggested by Dr ze and Richard. A basic idea is to use known properties of the porterior density of the param- eters of the structural form to design the importance functions, i. e. approximations of the posterior density, that are needed for organizing the integrations.

Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo, L. Bauwens