Harvey, A.C.; Trimbur, T.M.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2004
densities of parameters and estimated components are obtained using Markov chain Monte Carlo methods, which we develop for both … time series. Posterior densities of parameters and estimated
components are obtained using Markov chain Monte Carlo methods … sampler, Markov chain
Monte Carlo, unobserved components.
JEL csclscascsscssciscfscisccscasctsciscoscnsc: C11, E32.
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