Simulation-Based Bayesian Econometric Inference: Principles and Some Recent Computational Advances

Lennart F. Hoogerheide, Herman K. van Dijk, Rutger D. van Oest

Research output: Chapter in Book / Report / Conference proceedingChapterAcademicpeer-review

Original languageEnglish
Title of host publicationHandbook of Computational Econometrics
EditorsDavid A. Belsley, E.J. Kontoghiorghes
PublisherJohn Wiley & Sons, Ltd
Pages215-280
Number of pages66
ISBN (Print)9780470743850
DOIs
Publication statusPublished - 2009

Keywords

  • Adaptive radial-based direction sampling (ARDS)
  • Bayesian inference and frequentist approach comparison
  • Bayesian learning and average US real GNP growth
  • Highest posterior density (HPD) region
  • Importance sampling computing marginal likelihood
  • MCMC class and Gibbs sampling algorithm
  • Ordinary least squares (OLS) regression
  • Primer on Bayesian inference
  • Primer on simulation methods
  • Simulation-based Bayesian econometric inference (SBBEI)

Cite this

Hoogerheide, L. F., van Dijk, H. K., & van Oest, R. D. (2009). Simulation-Based Bayesian Econometric Inference: Principles and Some Recent Computational Advances. In D. A. Belsley, & E. J. Kontoghiorghes (Eds.), Handbook of Computational Econometrics (pp. 215-280). John Wiley & Sons, Ltd. https://doi.org/10.1002/9780470748916.ch7
Hoogerheide, Lennart F. ; van Dijk, Herman K. ; van Oest, Rutger D. / Simulation-Based Bayesian Econometric Inference : Principles and Some Recent Computational Advances. Handbook of Computational Econometrics. editor / David A. Belsley ; E.J. Kontoghiorghes. John Wiley & Sons, Ltd, 2009. pp. 215-280
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Hoogerheide, LF, van Dijk, HK & van Oest, RD 2009, Simulation-Based Bayesian Econometric Inference: Principles and Some Recent Computational Advances. in DA Belsley & EJ Kontoghiorghes (eds), Handbook of Computational Econometrics. John Wiley & Sons, Ltd, pp. 215-280. https://doi.org/10.1002/9780470748916.ch7

Simulation-Based Bayesian Econometric Inference : Principles and Some Recent Computational Advances. / Hoogerheide, Lennart F.; van Dijk, Herman K.; van Oest, Rutger D.

Handbook of Computational Econometrics. ed. / David A. Belsley; E.J. Kontoghiorghes. John Wiley & Sons, Ltd, 2009. p. 215-280.

Research output: Chapter in Book / Report / Conference proceedingChapterAcademicpeer-review

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KW - Importance sampling computing marginal likelihood

KW - MCMC class and Gibbs sampling algorithm

KW - Ordinary least squares (OLS) regression

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KW - Primer on simulation methods

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Hoogerheide LF, van Dijk HK, van Oest RD. Simulation-Based Bayesian Econometric Inference: Principles and Some Recent Computational Advances. In Belsley DA, Kontoghiorghes EJ, editors, Handbook of Computational Econometrics. John Wiley & Sons, Ltd. 2009. p. 215-280 https://doi.org/10.1002/9780470748916.ch7