/importance_sampling

Econ 722, Spring 2020, UPenn

Primary LanguageJuliaGNU General Public License v3.0GPL-3.0

Econ 722 - Spring 2020 - Prof. Schorfheide

Posterior Samplers: Importance Sampling

PS1 - problem 2

It includes the implementation of the importance sampling algorithm, its evaluation under different number of draws from the auxiliary distribution and computation of bias, variance and the inefficiency factor.