MCMC method for Markov mixture simultaneous-equation models: a note

Christopher Sims () and Tao Zha

No 2004-15, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: 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.

Date: 2004
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-ets
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