1. Siddhartha Chib is the Harry C. Hartkopf Professor of Econometrics and Statistics, John M. Olin School of Business, Washington University, St. Louis, MO63130 . Ivan Jeliazkov is Assistant Professor, Department of Economics, University of California, Irvine, CA 92697 . The authors thank the editor, associate editor, and two referees, along with Edward Greenberg, Dale Poirier, and Justin Tobias, for helpful comments.