Koop, Gary; Strachan, Rodney W.; Dijk, Herman K. van; … - 2005
�rst is
to draw from p( jData; ; ;r) in the context of a Markov Chain Monte Carlo
(MCMC) algorithm. Examples of this … (2005a) in which is analytically
integrated out and an MCMC scheme developed to draw from p( jData;r; )
and p( jData … within the embedding model
(i.e. the unrestricted VAR), Kleibergen and Paap (2002) use MCMC output
from a Metropolis …