Some remarks on the simulation revolution in bayesian econometric inference

Econometric Reviews

Volumn 18, Issue 1, 1999, Pages 105-112

  van Dijk, Herman K ^a  

^a TINBERGEN INSTITUTE   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84897077786     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474939908800432     Document Type: Article

References (10)

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2. Geweke, J., 1998. Using simulation methods for Bayesian econometric models: inference, development and communication. Econometric Reviews, to appear
3. Hammersly, J. M., and Handscomb, D. C., Monte Carlo Methods, London: Metliueri and Company.
4. Hoek, H., 1997. “ Variable trends ”. In A, Bayesian perspective, Erasmus University Rotterdam: Thesis Tinbergen Institute.
5. Hop, P., and van Dijk, H. K., 1992. SISAM and MIXIN: two algorithnls for the computation of posterior moments and densities using Monte Carlo integration. Computer Science in Economics and Management, 5: 183–220. reprinted in Bulletin of the International Statistical Institute Cairo, vol. LIV, book 3, 29 pages
6. Kloek, T., and van Dijk, H. K., 1975. Bayesian estimates of equation system parameters: An unorthodox application of Monte Carlo Vol. 5, report 7511 of the Econometric Institute, 21 pages
7. Kloek, T., and van Dijk, H. K., 1978. Bayesian estimates of equation system parameters, An application of integration by Monte Carlo. Econometrica, 46: 1–19.
8. Mulvey, J. M., Rosenbaum, D. P., and Shetty, B., 1997. Strategic financial risk management and operations research. European Journal of Operations Research, 97: 1–16.
9. Van Dijk, H. K., and Kloek, T., 1980. Further experience in Bayesian analysis using Monte Carlo integration. Journal of Econometrics, 14: 307–328.
10. Van Dijk, H. K., Kloek, T., and Boender, G., 1985. Posterior moments computed by mixed integration. Journal of Econometrics, 29: 3–18.