Monte Carlo simulation and numerical integration
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Geweke, John, 1996. "Monte carlo simulation and numerical integration," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 15, pages 731-800, Elsevier.
References listed on IDEAS
- Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-1339, November.
- Geweke, John, 1994.
"Priors for Macroeconomic Time Series and Their Application,"
Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 609-632, August.
- John Geweke, 1992. "Priors for macroeconomic time series and their application," Discussion Paper / Institute for Empirical Macroeconomics 64, Federal Reserve Bank of Minneapolis.
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002.
"Bayesian Analysis of Stochastic Volatility Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 371-389, October.
- McGrattan, Ellen R., 1996.
"Solving the stochastic growth model with a finite element method,"
Journal of Economic Dynamics and Control, Elsevier, vol. 20(1-3), pages 19-42.
- Ellen R. McGrattan, 1993. "Solving the stochastic growth model with a finite element method," Staff Report 164, Federal Reserve Bank of Minneapolis.
- P. Wild & W. R. Gilks, 1993. "Adaptive Rejection Sampling from Log‐Concave Density Functions," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 42(4), pages 701-709, December.
- Anthony A. Smith, Jr., 1991. "Solving Stochastic Dynamic Programming Problems Using Rules Of Thumb," Working Paper 816, Economics Department, Queen's University.
- William A. Brock & Leonard J. Mirman, 2001.
"Optimal Economic Growth And Uncertainty: The Discounted Case,"
Chapters, in: W. D. Dechert (ed.), Growth Theory, Nonlinear Dynamics and Economic Modelling, chapter 1, pages 3-37,
Edward Elgar Publishing.
- Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June.
- Taylor, John B & Uhlig, Harald, 1990.
"Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 1-17, January.
- John B. Taylor & Harald Uhlig, 1989. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," NBER Working Papers 3117, National Bureau of Economic Research, Inc.
- Geweke, John, 1986. "Exact Inference in the Inequality Constrained Normal Linear Regression Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 1(2), pages 127-141, April.
- Geweke, John, 1988. "Antithetic acceleration of Monte Carlo integration in Bayesian inference," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 73-89.
- W. R. Gilks & P. Wild, 1992. "Adaptive Rejection Sampling for Gibbs Sampling," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 41(2), pages 337-348, June.
- H. Kahn & A. W. Marshall, 1953. "Methods of Reducing Sample Size in Monte Carlo Computations," Operations Research, INFORMS, vol. 1(5), pages 263-278, November.
- Kloek, Tuen & van Dijk, Herman K, 1978.
"Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo,"
Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
- Kloek, T. & van Dijk, H. K., 1976. "BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Application of Integration by Monte Carlo," Econometric Institute Archives 272139, Erasmus University Rotterdam.
- Tauchen, George, 1985. "Diagnostic testing and evaluation of maximum likelihood models," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 415-443.
- Dale J. Poirier, 1995. "Intermediate Statistics and Econometrics: A Comparative Approach," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262161494, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis.
- Chib, Siddhartha & Greenberg, Edward, 1996.
"Markov Chain Monte Carlo Simulation Methods in Econometrics,"
Econometric Theory, Cambridge University Press, vol. 12(3), pages 409-431, August.
- Siddhartha Chib & Edward Greenberg, 1994. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometrics 9408001, University Library of Munich, Germany, revised 23 Feb 1995.
- John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006.
"Econometrics: A Bird’s Eye View,"
CESifo Working Paper Series
1870, CESifo.
- Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute of Labor Economics (IZA).
- Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
- Heckelei, Thomas & Mittelhammer, Ronald C., 1996. "Bayesian Bootstrap Analysis of Systems of Equations," Discussion Papers 18786, University of Bonn, Institute for Food and Resource Economics.
- Garland Durham, 2004. "Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects," Econometric Society 2004 North American Summer Meetings 294, Econometric Society.
- Isaiah Hull & Or Sattath & Eleni Diamanti & Göran Wendin, 2024.
"Quantum Technology for Economists,"
Contributions to Economics,
Springer, number 978-3-031-50780-9, December.
- Hull, Isaiah & Sattath, Or & Diamanti, Eleni & Wendin, Göran, 2020. "Quantum Technology for Economists," Working Paper Series 398, Sveriges Riksbank (Central Bank of Sweden).
- Isaiah Hull & Or Sattath & Eleni Diamanti & Goran Wendin, 2020. "Quantum Technology for Economists," Papers 2012.04473, arXiv.org, revised Oct 2021.
- Gordon, Stephen & Bélanger, Gilles, 1996.
"Échantillonnage de Gibbs et autres applications économétriques des chaînes markoviennes,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 72(1), pages 27-49, mars.
- GORDON, Stephen & BÉLANGER, Gilles, 1995. "Échantillonnage de Gibbs et autres applications économétriques des chaînes markoviennes," Cahiers de recherche 9509, Université Laval - Département d'économique.
- Gordon, S. & Belanger, G., 1995. "Echantillonnage de Gibbs et autres application econometriques des chaines merkoviennes," Papers 9509, Laval - Recherche en Politique Economique.
- John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report 148, Federal Reserve Bank of Minneapolis.
- Heckelei, Thomas & Mittelhammer, Ron C., 2003. "Bayesian bootstrap multivariate regression," Journal of Econometrics, Elsevier, vol. 112(2), pages 241-264, February.
- Liesenfeld, Roman & Richard, Jean-François, 2008.
"Improving MCMC, using efficient importance sampling,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 272-288, December.
- Liesenfeld, Roman & Richard, Jean-François, 2006. "Improving MCMC Using Efficient Importance Sampling," Economics Working Papers 2006-05, Christian-Albrechts-University of Kiel, Department of Economics.
- Dorfman, Jeffrey H., 1995. "A numerical bayesian test for cointegration of AR processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 289-324.
- Jacquier, Eric & Polson, Nicholas G. & Rossi, P.E.Peter E., 2004. "Bayesian analysis of stochastic volatility models with fat-tails and correlated errors," Journal of Econometrics, Elsevier, vol. 122(1), pages 185-212, September.
- Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
- Vijverberg, Wim P. M., 1997. "Monte Carlo evaluation of multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 281-307.
- Koopman, Siem Jan & Shephard, Neil & Creal, Drew, 2009. "Testing the assumptions behind importance sampling," Journal of Econometrics, Elsevier, vol. 149(1), pages 2-11, April.
- Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
- Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
- Karlsson, Sune, 2013.
"Forecasting with Bayesian Vector Autoregression,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 791-897,
Elsevier.
- Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2014.
"Bayesian option pricing using mixed normal heteroskedasticity models,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
- ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche 0926, CIRPEE.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
- Durham, Garland B., 2006. "Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models," Journal of Econometrics, Elsevier, vol. 133(1), pages 273-305, July.
More about this item
Keywords
Econometrics;JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedmsr:192. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kate Hansel (email available below). General contact details of provider: https://edirc.repec.org/data/cfrbmus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.