MCMC Method for Markov Mixture Simultaneous-Equation Models : A Note

This paper extends the methods developed by Hamilton (1989) and Chib (1996) to identified multiple-equation models. It details how to obtain Bayesian estimation and inference for a class of models with different degrees of time variation and discusses both analytical and computational difficulties

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Year of publication:	2014
Authors:	Sims, Christopher A. ; Zha, Tao A.
Publisher:	[S.l.] : SSRN
Subject:	Markov-Kette \| Markov chain \| Theorie \| Theory \| Bayes-Statistik \| Bayesian inference \| Mehrgleichungsmodell \| Multiple equation model \| Volatilität \| Volatility

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