Malley, James R.; Woitek, Ulrich - 2009
algorithm
We are now in a position to write the model’s likelihood function as
p(yt,t=1 ,...,T |ψ) =
Tproductdisplay
t=1
(2π)−0 … n is the
number of measurement equations. We estimate ψ using the random walk
Metropolis-Hastings algorithm (see e …
Ireland (2004) and in each step of the estimation algorithm, draw two re-
alisations of the parameter vector. The first one is …