This paper extends the methods developed by Hamilton (1989) and Chib (1996) to identified multiple-equation models. It details how to obtain Bayesian estimation and inference for a class of models with different degrees of time variation and discusses both analytical and computational difficulties.
JEL classification: C3
Key words: simultaneity, identification, time variation, volatility, Bayesian method
The authors thank Dan Waggoner for helpful discussions. The views expressed here are the authors’ and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. Any remaining errors are the authors’ responsibility.
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