An algorithm for the computation of posterior moments and densities using simple importance sampling

In earlier work (van Dijk, 1984, Chapter 3) one of the authors discussed the use of Monte Carlo integration methods for the computation of the multivariate integrals that are defined in the posterior moments and densities of the parameters of interest of econometric models. In the present paper we describe the computational steps of one Monte Carlo method, which is known in the literature as importance sampling. Further, a set of standard programs is available, which may be used for the implementation of a simple case of importance sampling. The computer programs have been written in FORTRAN 77.