Giordani, P.; Kohn, R.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2005
This paper demonstrates that the class of conditionally linear and Gaussian state-space models offers a general and … a Bayesian approach to estimation and inference, using an efficient implementation of Markov Chain Monte Carlo sampling … by means of several examples. An application to quarterly industrial production growth rates for the G7 countries …