Markov chain monte carlo simulation methods in econometrics

Econometric Theory

Volumn 12, Issue 3, 1996, Pages 409-431

  Chib, Siddhartha ^a,b   Greenberg, Edward ^a  

^a UNIVERSITY OF WASHINGTON   (United States)

^b WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030492729     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600006794     Document Type: Article

References (7)

1. Albert, J. & S. Chib (1993a) Bayesian analysis of binary and polychotomous response data. Journal of the American Statistical Association 88, 669-679.
2. Albert, J. & S. Chib (1993b) Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts. Journal of Business and Economic Statistics 11, 1-15.
3. Carlin, B.P. & S. Chib (1995) Bayesian model choice via Markov chain Monte Carlo. Journal of the Royal Statistical Society B 57, 473-484.
4. Carlin, B.P., A.E. Gelfand, & A.F.M. Smith (1992) Hierarchical Bayesian analysis of change point problems. Journal of the Royal Statistical Society C 41, 389-405.
5. Carlin, B.P. & N.G. Poison (1991) Inference for nonconjugate Bayesian models using the Gibbs sampler. Canadian Journal of Statistics 19, 399-405.
6. George, E.I. & R.E. McCulloch (1993) Variable selection via Gibbs sampling. Journal of the American Statistical Association 88, 881-889.
7. Geweke, J. (1989) Bayesian inference in econometric models using Monte Carlo integration. Econometrica 57, 1317-1340.