KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Uses the rejection method to draw from the posterior formed by multiplying a Normal by a log inverse gamma. This comes up in the analysis of the stochastic volatility model. This is a refinement of the proposal in: Kim, Shephard and Chib(1998), "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models", Review of Economic Studies, vol 65, pp 361-93

Language: RATS
Requires: RATS 7.00
Keywords: Rejection method; stochastic volatility model (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/kscpostdraw.src (text/plain)

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