Abstract

http://ssrn.com/abstract=2214614
 


 



Fiducial Approximations to Posterior Distributions


Efthymios G. Tsionas


Athens University of Economics and Business - Department of Economics

February 10, 2013


Abstract:     
In this paper we consider the ducial argument of Fisher from the point of view of constructing ecient approximations of (or importance distributions to) posterior distributions in econometric models with intractable likelihood functions. The importance or proposal distributions are used along with MCMC methods for Bayesian inference. We propose several variations which are tested in articial and actual data, including the simultaneous equations model with weak instruments and multivariate stochastic volatility models. We routinely find that versions of fiducial distributions provide reasonable approximations to posterior distributions and when they do not, we propose efficient techniques to improve dramatically the quality of approximation using MCMC techniques.

Number of Pages in PDF File: 53

Keywords: fiducial inference, MCMC, Bayesian analysis, posterior approximation

JEL Classification: C11, C13

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Date posted: February 10, 2013  

Suggested Citation

Tsionas, Efthymios G., Fiducial Approximations to Posterior Distributions (February 10, 2013). Available at SSRN: http://ssrn.com/abstract=2214614 or http://dx.doi.org/10.2139/ssrn.2214614

Contact Information

Efthymios (Efthymios) G. Tsionas (Contact Author)
Athens University of Economics and Business - Department of Economics ( email )
76 Patission Street
GR-10434 Athens
Greece
+301 8203 (Phone)
+301 8203 301 (Fax)
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