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:	2014
Authors:	Sims, Christopher A. ; Zha, Tao A.
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Markov-Kette \| Markov chain \| Monte-Carlo-Simulation \| Monte Carlo simulation

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Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2004 erstellt
Other identifiers:	10.2139/ssrn.579041 [DOI]
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014048575