Arbeitspapier
MCMC method for Markov mixture simultaneous-equation models: a note
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.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2004-15
- Classification
-
Wirtschaft
- Subject
-
Volatilität
Bayes-Statistik
Markovscher Prozess
Theorie
Simultanes Gleichungssystem
- Event
-
Geistige Schöpfung
- (who)
-
Sims, Christopher A.
Zha, Tao
- Event
-
Veröffentlichung
- (who)
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Federal Reserve Bank of Atlanta
- (where)
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Atlanta, GA
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Sims, Christopher A.
- Zha, Tao
- Federal Reserve Bank of Atlanta
Time of origin
- 2004
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