06-076/4 - On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling

• Authors
  Michiel D. de Pooter, Faculty of Economics, Erasmus Universiteit Rotterdam; René Segers, Faculty of Economics, Erasmus Universiteit Rotterdam; Herman K. van Dijk, Faculty of Economics, Erasmus Universiteit Rotterdam
• Publication date
  August 31, 2006

• Keywords
  Gibbs sampler; MCMC; serial correlation; non-stationarity; reduced rank models; state-space models; random effects panel data models
• JEL
  C11; C15; C22; C23; C30