Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models

DOI10.1016/0304-4076(94)01653-HzbMath0833.62103OpenAlexW2064236909MaRDI QIDQ1899236

Siddhartha Chib, Edward Greenberg

Publication date: 14 November 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01653-h

zbMATH Keywords

Bayes estimationBayes factorhierarchical modelMetropolis algorithmMarkov chain Monte Carlo methodsGibbs samplingstate space modeldata augmentationefficient algorithmvector autoregressive processtime-varying parameter modelmodel adequacy checkingvector moving average processZellner's SUR model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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