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
Institutions:	Federal Reserve Bank of Atlanta

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Extent:	application/pdf
Series:	Working Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2004-15
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005721770