De Pooter, Michiel; Segers, Rene; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2006
We present a road map for effective application of Bayesian analysis of a class of well-known dynamic econometric models by means of the Gibbs sampling algorithm. Members belonging to this class are the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root...
