Chib, Siddhartha; Ramamurthy, Srikanth - In: Econometric Reviews 33 (2014) 1-4, pp. 152-171
This paper deals with Dynamic Stochastic General Equilibrium (DSGE) models under a multivariate student-<italic>t</italic> distribution for the structural shocks. Based on the solution algorithm of Klein (2000) and the gamma-normal representation of the <italic>t</italic>-distribution, the TaRB-MH algorithm of Chib and...
