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Marginal likelihood calculation for the Gelfand–Dey and Chib methods

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  • Liu, Chun
  • Liu, Qing

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.

Suggested Citation

  • Liu, Chun & Liu, Qing, 2012. "Marginal likelihood calculation for the Gelfand–Dey and Chib methods," Economics Letters, Elsevier, vol. 115(2), pages 200-203.
    • Handle: RePEc:eee:ecolet:v:115:y:2012:i:2:p:200-203
    DOI: 10.1016/j.econlet.2011.12.034
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    1. Chun Liu & John M. Maheu, 2008. "Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, Oxford University Press, vol. 6(3), pages 326-360, Summer.
    2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
    3. G. M. Martin & C. S. Forbes, 1999. "Using simulation methods for bayesian econometric models: inference, development and communication: some comments," Econometric Reviews, Taylor & Francis Journals, vol. 18(1), pages 113-118.
    4. John Geweke, 1999. "Using simulation methods for bayesian econometric models: inference, development,and communication," Econometric Reviews, Taylor & Francis Journals, vol. 18(1), pages 1-73.
    5. Fulvio Corsi, 2009. "A Simple Approximate Long-Memory Model of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 7(2), pages 174-196, Spring.
    6. W. E. Griffiths, 1999. "Estimating consumer surplus comments on "using simulation methods for bayesian econometric models: inference development and communication"," Econometric Reviews, Taylor & Francis Journals, vol. 18(1), pages 75-87.
    7. John Geweke, 1999. "Using Simulation Methods for Bayesian Econometric Models," Computing in Economics and Finance 1999 832, Society for Computational Economics.
    8. Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June.
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    Cited by:

    1. Shen‐Ming Lee & Truong‐Nhat Le & Phuoc‐Loc Tran & Chin‐Shang Li, 2022. "Investigating the association of a sensitive attribute with a random variable using the Christofides generalised randomised response design and Bayesian methods," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(5), pages 1471-1502, November.

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    More about this item

    Keywords

    Model comparison; Structural break; Heterogeneous autoregressive model; Bayesian estimation;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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