The posterior distribution of a small-scale illustrative econometric model is used to compare symmetric simple importance sampling with asymmetric simple importance sampling. The numerical results include posterior first and second order moments, numerical error estimates of the first order moments, posterior modes, univariate marginal posterior densities and bivariate marginal posterior densities plotted in three-dimensional figures.

Monte Carlo models, econometric models, statistics
hdl.handle.net/1765/11229
Royal Statistical Society. Journal. Series D: The Statistician
Erasmus School of Economics

van Dijk, H.K, & Kloek, T. (1983). Monte Carlo analysis of skew posterior distributions: an econometric example. Royal Statistical Society. Journal. Series D: The Statistician. Retrieved from http://hdl.handle.net/1765/11229