Striated Metropolis-Hastings sampler for high-dimensional models

DOI10.1016/j.jeconom.2016.02.007zbMath1420.62125OpenAlexW2345224716MaRDI QIDQ281050

Hongwei Wu, Tao Zha, Daniel F. Waggoner

Publication date: 10 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.02.007

zbMATH Keywords

monetary policysimultaneous equationsmultiple peaksdynamic striation adjustmentseffective sample sizeimportance weightsindependent striated drawsinflation coefficientirregular posterior distributiontempered likelihoodwinding ridges

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05)

Related Items (7)

Econometrics with system priors ⋮ DSGE pileups ⋮ MCMC for Markov-switching models—Gibbs sampling vs. marginalized likelihood ⋮ Global robust Bayesian analysis in large models ⋮ A new posterior sampler for Bayesian structural vector autoregressive models ⋮ Improved marginal likelihood estimation via power posteriors and importance sampling ⋮ Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity

Uses Software

• tsbridge

Cites Work

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