Working Paper
MCMC method for Markov mixture simultaneous-equation models: a note
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.
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https://fraser.stlouisfed.org/title/working-papers-federal-reserve-bank-atlanta-8586/mcmc-method-markov-mixture-simultaneous-equation-models-656833
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Bibliographic Information
Provider: Federal Reserve Bank of Atlanta
Part of Series: FRB Atlanta Working Paper
Publication Date: 2004
Number: 2004-15