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Although the paper summarizes some of the relevant theoretical literature, its emphasis is on the presentation and explanation of applications to important models that are studied in econometrics. 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 specification 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 find the techniques useful.<\/jats:p>","DOI":"10.1017\/s0266466600006794","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:39:09Z","timestamp":1236699549000},"page":"409-431","source":"Crossref","is-referenced-by-count":283,"title":["Markov Chain Monte Carlo Simulation Methods in Econometrics"],"prefix":"10.1017","volume":"12","author":[{"given":"Siddhartha","family":"Chib","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Edward","family":"Greenberg","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600006794_ref047","volume-title":"Bayesian Statistics and Econometrics: Essays in Honor of Arnold Zellner.","author":"Marriott","year":"1995"},{"key":"S0266466600006794_ref076","unstructured":"Zangari P.J. & Tsurumi H. 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