A Gibbs sampler for structural vector autoregressions

DOI10.1016/s0165-1889(02)00168-9zbMath1187.62149MaRDI QIDQ97972

Daniel F. Waggoner, Tao Zha, Tao Zha, Daniel F. Waggoner

Publication date: November 2003

Published in: Journal of Economic Dynamics and Control, Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

importance samplingGibbs samplersimultaneity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84) Numerical analysis or methods applied to Markov chains (65C40)

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