Fuentes-Albero, Cristina; Melosi, Leonardo - In: Journal of Econometrics 175 (2013) 2, pp. 132-141
We introduce two estimators for estimating the Marginal Data Density (MDD) from the Gibbs output. Our methods are based on exploiting the analytical tractability condition, which requires that some parameter blocks can be analytically integrated out from the conditional posterior densities. This...