Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo:
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 sp...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1984
|
| Ausgabe: | 1st ed. 1984 |
| Schriftenreihe: | Lecture Notes in Economics and Mathematical Systems
232 |
| Schlagworte: | |
| Online-Zugang: | BTU01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (VI, 114 p) |
| ISBN: | 9783642455780 |
| DOI: | 10.1007/978-3-642-45578-0 |
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| edition | 1st ed. 1984 |
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| spelling | Bauwens, L. Verfasser aut Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo by L. Bauwens 1st ed. 1984 Berlin, Heidelberg Springer Berlin Heidelberg 1984 1 Online-Ressource (VI, 114 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 232 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 Economic Theory/Quantitative Economics/Mathematical Methods Statistics for Business, Management, Economics, Finance, Insurance Economic theory Statistics Bayes-Verfahren (DE-588)4204326-8 gnd rswk-swf Strukturanalyse (DE-588)4183787-3 gnd rswk-swf Lineares Modell (DE-588)4134827-8 gnd rswk-swf Bayes-Verfahren (DE-588)4204326-8 s Strukturanalyse (DE-588)4183787-3 s DE-604 Lineares Modell (DE-588)4134827-8 s Erscheint auch als Druck-Ausgabe 9783540133841 Erscheint auch als Druck-Ausgabe 9783642455797 https://doi.org/10.1007/978-3-642-45578-0 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Bauwens, L. Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo Economic Theory/Quantitative Economics/Mathematical Methods Statistics for Business, Management, Economics, Finance, Insurance Economic theory Statistics Bayes-Verfahren (DE-588)4204326-8 gnd Strukturanalyse (DE-588)4183787-3 gnd Lineares Modell (DE-588)4134827-8 gnd |
| subject_GND | (DE-588)4204326-8 (DE-588)4183787-3 (DE-588)4134827-8 |
| title | Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo |
| title_auth | Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo |
| title_exact_search | Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo |
| title_exact_search_txtP | Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo |
| title_full | Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo by L. Bauwens |
| title_fullStr | Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo by L. Bauwens |
| title_full_unstemmed | Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo by L. Bauwens |
| title_short | Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo |
| title_sort | bayesian full information analysis of simultaneous equation models using integration by monte carlo |
| topic | Economic Theory/Quantitative Economics/Mathematical Methods Statistics for Business, Management, Economics, Finance, Insurance Economic theory Statistics Bayes-Verfahren (DE-588)4204326-8 gnd Strukturanalyse (DE-588)4183787-3 gnd Lineares Modell (DE-588)4134827-8 gnd |
| topic_facet | Economic Theory/Quantitative Economics/Mathematical Methods Statistics for Business, Management, Economics, Finance, Insurance Economic theory Statistics Bayes-Verfahren Strukturanalyse Lineares Modell |
| url | https://doi.org/10.1007/978-3-642-45578-0 |
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