- Stationary preserving and efficiency increasing probability mass transfers made possible
- UvA Econometrics Discussion Paper
- Number of pages
- Department of Quantitative Economics
- Document type
- Working paper
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- We develop an efficient computational algorithm that produces efficient Markov chain Monte Carlo (MCMC) transition matrices.
The first level of efficiency is measured in terms of the number of operations needed to produce the resulting matrix. The
second level of efficiency is evaluated in terms of the asymptotic variance of the resulting MCMC estimates. The idea is then
extended from finite to general state spaces.
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