Liesenfeld, Roman; Richard, Jean-François - In: Computational Statistics & Data Analysis 53 (2008) 2, pp. 272-288
A generic Markov Chain Monte Carlo (MCMC) framework, based upon Efficient Importance Sampling (EIS) is developed, which can be used for the analysis of a wide range of econometric models involving integrals without analytical solution. EIS is a simple, generic and yet accurate Monte-Carlo...