dot-gibbsStepDT: Draws from the posterior of the parameters of the damped...

In RGAP: Production Function Output Gap Estimation

Draws from the posterior of the parameters of the damped trend equation, conditional on the states.

Description

Draws from the posterior of the parameters of the damped trend equation, conditional on the states.

Usage

.gibbsStepDT(Y, par, distr, varName)

Arguments

Y	A Tn x 1 vector.
par	A 3 x 1 vector with parameters.
distr	A 4 x 3 matrix with prior parameters and box constraints.
varName	A 3 x 1 vector with parameter names in the correct order, i.e., mean reversion, autoregressive parameter, variance.

Details

The three parameters are drawn sequentially in a Gibbs procedure. (conditional on the two other parameters).

The parameter \omega is drawn from a normal posterior which is obtained by conjugancy.

The autoregressive parameter \phi is drawn via a Metropolis-Hastings step.

The innovation variance is drwan from the Inverse-Gamma distribution which obtained by conjugacy.

RGAP documentation built on Nov. 2, 2023, 6:02 p.m.