AN ALGORITHM FOR THE COMPUTATION OF POSTERIOR MOMENTS AND DENSITIES USING SIMPLE IMPORTANCE SAMPLING

In earlier work (van Dijk (1984, Chapter 3)) one of the authors discussed the use of Monte Carlo integration methods for the computation of the multivariate integrals that are defined in the posterior moments and the liosterior densities of the parameters of interest of econometric models. In the present paper we describe the computational steps of one Monte Carlo method, mentioned In that work, which is known in the literature as importance sampling. Further, we have prepared a set of standard programs, which may be used for the implementation of a simple case of importance sampling. The computer programs have been written in Fortran.


Issue Date:
1986-10
Publication Type:
Working or Discussion Paper
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/272354
Language:
English
Total Pages:
64
Series Statement:
REPORT 8625/A




 Record created 2018-04-30, last modified 2020-10-28

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