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Integrated Deviance Information Criterion For Latent Variable Models, Yong Li, Jun Yu, Tao Zeng
Integrated Deviance Information Criterion For Latent Variable Models, Yong Li, Jun Yu, Tao Zeng
Research Collection School Of Economics
Deviance information criterion (DIC) has been widely used for Bayesian model comparison, especially after Markov chain Monte Carlo (MCMC) is used to estimate candidate models. This paper studies the problem of using DIC to compare latent variable models after the models are estimated by MCMC together with the data augmentation technique. Our contributions are twofold. First, we show that when MCMC is used with data augmentation, it undermines theoretical underpinnings of DIC. As a result, by treating latent variables as parameters, the widely used way of constructing DIC based on the conditional likelihood, although facilitating computation, should not be used. …