Pitfalls of estimating the marginal likelihood using the modified harmonic mean

DOI10.1016/j.econlet.2015.03.036zbMath1321.62023OpenAlexW3123737809MaRDI QIDQ500578

Angelia L. Grant, Joshua C. C. Chan

Publication date: 5 October 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.03.036

zbMATH Keywords

inflationstate spaceBayesian model comparisonunobserved components

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15)

Related Items (4)

Large Bayesian VARMAs ⋮ Modified harmonic mean method for spatial autoregressive models ⋮ A Dynamic Binary Probit Model with Time-Varying Parameters and Shrinkage Prior ⋮ Specification tests for time-varying parameter models with stochastic volatility

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• Efficient simulation and integrated likelihood estimation in state space models
• Statistical Modeling and Computation
• Sources of macroeconomic fluctuations: A regime-switching DSGE approach
• Marginal Likelihood from the Gibbs Output
• Using simulation methods for bayesian econometric models: inference, development,and communication

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