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.

Christopher A. Sims

Tao Zha

English

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http://www.frbatlanta.org/filelegacydocs/wp0415.pdf

MCMC method for Markov mixture simultaneous-equation models: a note

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Research Papers in Economics