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KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model


  • Tom Doan

    () (Estima)


Uses the rejection method to draw from the posterior formed by multiplying a Normal by a log inverse gamma. This comes up in the analysis of the stochastic volatility model. This is a refinement of the proposal in: Kim, Shephard and Chib(1998), "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models", Review of Economic Studies, vol 65, pp 361-93

Suggested Citation

  • Tom Doan, "undated". "KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model," Statistical Software Components RTS00101, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00101
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