Marginal likelihood calculation for the Gelfand-Dey and Chib methods |
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Authors: | Chun Liu Qing Liu |
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Affiliation: | School of Economics and Management, Tsinghua University, Beijing, China |
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Abstract: | A trade-off exists between the Gelfand and Dey (1994) and Chib (1995) methods to calculate the marginal likelihood in Bayesian estimation. Using the Markov Chain Monte Carlo method, we demonstrate that the performance of the two methods is fairly close. |
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Keywords: | C11 C13 |
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