Hypothesis testing, specification testing and model selection based on the MCMC output using R

Hypothesis testing, specification testing and model selection based on the MCMC output using R

This chapter overviews several MCMC-based test statistics for hypothesis testing andspecification testing and MCMC-based model selection criteria developed in recentyears. The statistics for hypothesis testing can be viewed as the MCMC version ofthe “trinity” of test statistics based in maximum like...

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Bibliographic Details
Main Authors: LI, Yong, YU, Jun, ZENG, Tao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
AIC
DIC
Information matrix
LR test
LM test
Markov chain Monte Carlo
Latent variable
Wald test
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2321
https://ink.library.smu.edu.sg/context/soe_research/article/3320/viewcontent/liyuzeng.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2321
https://ink.library.smu.edu.sg/context/soe_research/article/3320/viewcontent/liyuzeng.pdf

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