Pitfalls of estimating the marginal likelihood using the modified harmonic mean

Joshua Chan and Angelia Grant

Economics Letters, 2015, vol. 131, issue C, 29-33

Abstract: The modified harmonic mean is widely used for estimating the marginal likelihood. We investigate the empirical performance of two versions of this estimator: one based on the observed-data likelihood and the other on the complete-data likelihood. Through an empirical example using US and UK inflation, we show that the version based on the complete-data likelihood has a substantial bias and tends to select the wrong model, whereas the version based on the observed-data likelihood works well.

Keywords: Bayesian model comparison; State space; Unobserved components; Inflation (search for similar items in EconPapers)
JEL-codes: C11 C15 C32 C52 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176515001378
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:131:y:2015:i:c:p:29-33

DOI: 10.1016/j.econlet.2015.03.036

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().