MONTE CARLO ANALYSIS OF SKEW POSTERIOR DISTRIBUTIONS: AN ILLUSTRATIVE ECONOMETRIC EXAMPLE

The posterior distribution of a small scale illustrative econometric model is used to compare symmetric simple importance sampling with asymmetric simple importance sampling. The numerical results include posterior first and second order moments,- numerical error estimates of the first order moments, posterior modes, univariate marginal posterior densities and bivariate marginal posterior densities plotted in three-dimensional figures.