Striated Metropolis-Hastings sampler for high-dimensional models
DOI10.1016/J.JECONOM.2016.02.007zbMATH Open1420.62125OpenAlexW2345224716MaRDI QIDQ281050FDOQ281050
Authors: Daniel F. Waggoner, Tao Zha, Hongwei Wu 
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
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simultaneous equationsdynamic striation adjustmentseffective sample sizeimportance weightsindependent striated drawsinflation coefficientirregular posterior distributionmonetary policymultiple peakstempered likelihoodwinding ridges
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)
Cites Work
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- Adaptive sequential posterior simulators for massively parallel computing environments
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- Tapping the supercomputer under your desk: solving dynamic equilibrium models with graphics processors
Cited In (8)
- Improved marginal likelihood estimation via power posteriors and importance sampling
- Econometrics with system priors
- MCMC for Markov-switching models -- Gibbs sampling vs. marginalized likelihood
- DSGE pileups
- Global robust Bayesian analysis in large models
- Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
- A new posterior sampler for Bayesian structural vector autoregressive models
- Four stylized facts about COVID-19
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