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Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling

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  • Geweke, John
  • Tanizaki, Hisashi

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File URL: http://www.sciencedirect.com/science/article/B6V8V-43MB95W-2/2/e3502beeaa1a751709d2d3874dfb6fa8
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Bibliographic Info

Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 37 (2001)
Issue (Month): 2 (August)
Pages: 151-170

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Handle: RePEc:eee:csdana:v:37:y:2001:i:2:p:151-170

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

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  1. Geweke, John, 1996. "Monte carlo simulation and numerical integration," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 15, pages 731-800 Elsevier.
  2. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
  3. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(03), pages 409-431, August.
  4. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, January.
  5. Tanizaki, Hisashi & Mariano, Roberto S., 1998. "Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 263-290.
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Cited by:
  1. Fabio Canova & Fernando J. Pérez Forero, 2012. "Estimating overidentified, nonrecursive, time-varying coefficients structural VARs," Economics Working Papers 1321, Department of Economics and Business, Universitat Pompeu Fabra.
  2. Liu, Xiaochun, 2013. "Markov-Switching Quantile Autoregression," MPRA Paper 55800, University Library of Munich, Germany.
  3. Linnea Polgreen & Pedro Silos, 2005. "Capital-skill complementarity and inequality: a sensitivity analysis," Working Paper 2005-20, Federal Reserve Bank of Atlanta.
  4. Gonzalez-Astudillo, Manuel, 2013. "Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients," MPRA Paper 50040, University Library of Munich, Germany.
  5. Almeida, Carlos & Czado, Claudia, 2012. "Efficient Bayesian inference for stochastic time-varying copula models," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1511-1527.

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