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:	2004
Authors:	Sims, Christopher A. ; Zha, Tao
Publisher:	Atlanta, GA : Federal Reserve Bank of Atlanta
Subject:	Volatilität \| Bayes-Statistik \| Markovscher Prozess \| Theorie \| Simultanes Gleichungssystem

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Series:	Working Paper ; 2004-15
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	479119813 [GVK] hdl:10419/100926 [Handle] RePEc:fip:fedawp:2004-15 [RePEc]
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010397597