RATS program to demonstrate Gibbs Sampling applied to an ARMA model

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Example of analysis of an ARMA model using Gibbs sampling(Independence Chain Monte Carlo).

Language: RATS
Requires: RATS 7.30
Keywords: ARMA model; Bayesian methods (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/armagibbs.rpf (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00170

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