Unconditional Estimation of Time-Varying-Parameter Models: A Gibbs-Sampling Approach

Chung-Ki Min
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Chung-Ki Min: Hankuk University of Foreign Studies

Korean Economic Review, 1997, vol. 13, issue 1, 49-72

Abstract: This study addresses the issue of unconditional estimation of regression models with time-varying parameters. Using a data augmentation in which unobserved random coefficients are treated as missing data, procedures for the Gibbs sampler are developd. Several examples are presented to illustrate how the Gibbs-sampling procdedures perform in practice.

Date: 1997
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