作者：Siddhartha Chib   Washington University, St. Louis MO, USA
Edward Greenberg   Washington University, St. Louis MO, USA
时间：February, 1995

页数：31

Abstract
We present several Markov chain Monte Carlo simulation methods that have been
widely used in recent years in econometrics and statistics. Among these is the Gibbs
sampler, which has been of particular interest to econometricians. Although the paper
summarizes some of the relevant theoretical literature, its emphasis is on the presen-
tation and explanation of applications to important models that are studied in econo-
metrics. We include a discussion of some implementation issues, the use of the methods
in connection with the EM algorithm, and how the methods can be helpful in model
speci cation questions. Many of the applications of these methods are of particular
interest to Bayesians, but we also point out ways in which frequentist statisticians may
nd the techniques useful.