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A Gibbs sampling approach to estimation and prediction of time-varying-parameter models

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  • Min, Chung-ki
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-3T1FD9B-4/2/433b915ede499ff34cb662b1816266bc
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 27 (1998)
    Issue (Month): 2 (April)
    Pages: 171-194

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    Handle: RePEc:eee:csdana:v:27:y:1998:i:2:p:171-194

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    Web page: http://www.elsevier.com/locate/csda

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    1. McCulloch, Robert & Rossi, Peter E., 1994. "An exact likelihood analysis of the multinomial probit model," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 207-240.
    2. John Y. Campbell & N. Gregory Mankiw, 1988. "Are Output Fluctuations Transitory?," NBER Working Papers 1916, National Bureau of Economic Research, Inc.
    3. Liu, Lon-Mu & Hanssens, Dominique M., 1981. "A bayesian approach to time-varying cross-sectional regression models," Journal of Econometrics, Elsevier, vol. 15(3), pages 341-356, April.
    4. Cooley, Thomas F & Prescott, Edward C, 1973. "An Adaptive Regression Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 14(2), pages 364-71, June.
    5. Cooley, Thomas F & Prescott, Edward C, 1973. "Tests of an Adaptive Regression Model," The Review of Economics and Statistics, MIT Press, vol. 55(2), pages 248-56, May.
    6. Zellner, Arnold & Rossi, Peter E., 1984. "Bayesian analysis of dichotomous quantal response models," Journal of Econometrics, Elsevier, vol. 25(3), pages 365-393, July.
    7. Cooley, Thomas F & Prescott, Edward C, 1976. "Estimation in the Presence of Stochastic Parameter Variation," Econometrica, Econometric Society, vol. 44(1), pages 167-84, January.
    8. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    9. DeJong, David N. & Whiteman, Charles H., 1991. "Reconsidering 'trends and random walks in macroeconomic time series'," Journal of Monetary Economics, Elsevier, vol. 28(2), pages 221-254, October.
    10. Franses, Philip Hans & Kleibergen, Frank, 1996. "Unit roots in the Nelson-Plosser data: Do they matter for forecasting?," International Journal of Forecasting, Elsevier, vol. 12(2), pages 283-288, June.
    11. Chib, Siddhartha, 1993. "Bayes regression with autoregressive errors : A Gibbs sampling approach," Journal of Econometrics, Elsevier, vol. 58(3), pages 275-294, August.
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