This paper develops a systematic Markov Chain Monte Carlo (MCMC) framework based upon Efficient Importance Sampling … solution. EIS is a simple, generic and yet accurate Monte-Carlo integration procedure based on sampling densities which are … MCMC components such as auxiliary sampling densities, normalizing constants and starting values. The potential of this …

Importance sampling is a popular Monte Carlo method used in a variety of areas in econometrics. When the variance of … the importance sampling estimator is infinite, the central limit theorem does not apply and estimates tend to be erratic …