RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility
Replication file for Jacquier, Polson and Rossi(1994), "Bayesian Analysis of Stochastic Volatility Models," Journal of Business and Economic Statistics, vol 12, no 4, pp. 371-89. Includes both a Metropolis MCMC and a rejection method similar to that in Kim, Shephard and Chib(1998), "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models", Review of Economic Studies, vol 65, pp 361-93.
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