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


  • Geweke, John
  • Tanizaki, Hisashi


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  • Geweke, John & Tanizaki, Hisashi, 2001. "Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling," Computational Statistics & Data Analysis, Elsevier, vol. 37(2), pages 151-170, August.
  • Handle: RePEc:eee:csdana:v:37:y:2001:i:2:p:151-170

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    References listed on IDEAS

    1. 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.
    2. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
    3. 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.
    4. 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.
    5. Hans M. Amman & David A. Kendrick, . "Computational Economics," Online economics textbooks, SUNY-Oswego, Department of Economics, number comp1, March.
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    Cited by:

    1. Linnea Polgreen & Pedro Silos, 2008. "Capital-Skill Complementarity and Inequality: A Sensitivity Analysis," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(2), pages 302-313, April.
    2. repec:eee:ecomod:v:200:y:2007:i:3:p:521-528 is not listed on IDEAS
    3. 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.
    4. Xiaochun Liu, 2016. "Markov switching quantile autoregression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 356-395, November.
    5. Veyssiere, Luc Pierre, 2009. "A three essays dissertation on agricultural and environmental microeconomics," ISU General Staff Papers 200901010800001958, Iowa State University, Department of Economics.
    6. Sy-Miin Chow & Zhaohua Lu & Andrew Sherwood & Hongtu Zhu, 2016. "Fitting Nonlinear Ordinary Differential Equation Models with Random Effects and Unknown Initial Conditions Using the Stochastic Approximation Expectation–Maximization (SAEM) Algorithm," Psychometrika, Springer;The Psychometric Society, vol. 81(1), pages 102-134, March.
    7. 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.
    8. Manuel Gonzalez-Astudillo, 2013. "Monetary-fiscal policy interactions: interdependent policy rule coefficients," Finance and Economics Discussion Series 2013-58, Board of Governors of the Federal Reserve System (U.S.).
    9. Moon Jung Choi & Geun-Young Kim & Joo Yong Lee, 2015. "An Analysis of Trade Patterns in East Asia and the Effects of the Real Exchange Rate Movements," Working Papers 2015-29, Economic Research Institute, Bank of Korea.
    10. Fernando Linardi & Cees (C.G.H.) Diks & Marco (M.J.) van der Leij & Iuri Lazier, 2017. "Dynamic Interbank Network Analysis Using Latent Space Models," Tinbergen Institute Discussion Papers 17-101/II, Tinbergen Institute.
    11. repec:eee:ecomod:v:224:y:2012:i:1:p:76-89 is not listed on IDEAS
    12. Hasegawa, Takanori & Niida, Atsushi & Mori, Tomoya & Shimamura, Teppei & Yamaguchi, Rui & Miyano, Satoru & Akutsu, Tatsuya & Imoto, Seiya, 2016. "A likelihood-free filtering method via approximate Bayesian computation in evaluating biological simulation models," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 63-74.

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