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
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.
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