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probit models and for categorical variables from multinomial probit models. We develop a Markov chain Monte Carlo (MCMC …
Persistent link: https://www.econbiz.de/10011189566
Identified vector autoregressive (VAR) models have become widely used on time series data in recent years, but finite sample inference for such models remains a challenge. In this study, we propose a conjugate prior for Bayesian analysis of normalized VAR models. Under the prior, the marginal...
Persistent link: https://www.econbiz.de/10010737771
the model, the conventional Markov chain Monte Carlo (MCMC) method may converge painfully slowly and thus fails to provide …
Persistent link: https://www.econbiz.de/10010572297