Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo: 232 (Lecture Notes in Economics and Mathematical Systems, 232) - Tapa blanda

Bauwens, Luc

 
9783540133841: Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo: 232 (Lecture Notes in Economics and Mathematical Systems, 232)
Tapa blanda
ISBN 10: 3540133844 ISBN 13: 9783540133841
Editorial: Springer Berlin Heidelberg, 1984

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Reseña del editor

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.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer Berlin Heidelberg
Año de publicación
1984
Idioma
Inglés
ISBN 10 
3540133844
ISBN 13 
9783540133841
Encuadernación
Tapa blanda
Número de páginas
128
Contacto del fabricante
no disponible
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Otras ediciones populares con el mismo título

9780387133843: Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo (Lecture Notes in Economics & Mathematical Systems)

Edición Destacada

ISBN 10:  0387133844 ISBN 13:  9780387133843
Editorial: Springer Verlag, 1984
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