A Comparison of Marginal Likelihood Computation Methods

Charles Bos

No 02-084/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: In a Bayesian analysis, different models can be compared on the basis of theexpected or marginal likelihood they attain. Many methods have been devised to compute themarginal likelihood, but simplicity is not the strongest point of most methods. At the sametime, the precision of methods is often questionable.In this paper several methods are presented in a common framework. The explanation of thedifferences is followed by an application, in which the precision of the methods is testedon a simple regression model where a comparison with analytical results is possible.

Keywords: Marginal likelihood; Bayesian analysis. (search for similar items in EconPapers)
JEL-codes: C11 C52 C63 (search for similar items in EconPapers)
Date: 2002-09-17
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://papers.tinbergen.nl/02084.pdf (application/pdf)

Related works:
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:tin:wpaper:20020084

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().