Federal Reserve Bank of Atlanta
FRB Atlanta Working Paper
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.
Cite this item
Christopher A. Sims & Tao Zha, MCMC method for Markov mixture simultaneous-equation models: a note, Federal Reserve Bank of Atlanta, FRB Atlanta Working Paper 2004-15, 2004.
This item with handle RePEc:fip:fedawp:2004-15
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