Computationally efficient simulation methods for hierarchical Bayesian analysis of the seemingly unrelated regression (SUR) and simultaneous equa-tions models (SEM) are proposed and applied. These methods combine a direct Monte Carlo (DMC) approach and an importance sampling procedure to calculate Bayesian estimation and prediction results, namely, Bayesian posterior densities for parameters, predictive densities for future values of variables and associated moments, intervals and other quantities. The results obtained by our approach are compared to those yielded by use of MCMC techniques. Finally, we show that our algorithm can be applied to the Bayesian analysis of state space models.
- Bayesian estimation and prediction
- Direct Monte Carlo
- Hierarchical priors importance sampling
- Markov Chain Monte Carlo
ASJC Scopus subject areas
- Statistics and Probability
- Applied Mathematics