Marginal likelihood calculation for the Gelfand–Dey and Chib methods

Chun Liu () and Qing Liu

Economics Letters, 2012, vol. 115, issue 2, 200-203

Abstract: A trade-off exists between the Gelfand and Dey (1994) and Chib (1995) methods to calculate the marginal likelihood in Bayesian estimation. Using the Markov Chain Monte Carlo method, we demonstrate that the performance of the two methods is fairly close.

Keywords: Model comparison; Structural break; Heterogeneous autoregressive model; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C11 C13 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Working Paper: Marginal likelihood calculation for gelfand-dey and Chib Method (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:2:p:200-203

DOI: 10.1016/j.econlet.2011.12.034

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