Fiducial Approximations to Posterior Distributions

53 Pages Posted: 10 Feb 2013  

Efthymios G. Tsionas

Athens University of Economics and Business - Department of Economics

Date Written: 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.

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

JEL Classification: C11, C13

Suggested Citation

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

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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