Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration by Monte Carlo (Paperback, Softcover reprint of the original 1st ed. 1984)

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."

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Lecture Notes in Economics and Mathematical Systems, 232
Release date:	September 1984
First published:	1984
Authors:	L Bauwens
Dimensions:	244 x 170 x 6mm (L x W x T)
Format:	Paperback
Pages:	114
Edition:	Softcover reprint of the original 1st ed. 1984
ISBN-13:	978-3-540-13384-1
Categories:	Books > Business & Economics > Economics > Economic theory & philosophy Books > Science & Mathematics > Mathematics > Probability & statistics
LSN:	3-540-13384-4
Barcode:	9783540133841

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