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This article provides a generic, very fast method for computing exact density-ratio class bounds on posterior expectations, given the output of a posterior simulator. It illustrates application of the method in an econometric model of typical complexity. In this model, the exact bounds for expectations of some functions of interest are well approximated by the established asymptotic approximation, but others are not. Software for the computations is publicly available in a variety of programming languages.
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Geweke et al. (1998) studied this question.
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