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
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