Time-Varying Parameter VAR Model with Stochastic ...

Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications distribution. There are many ways to construct the Markov chain with this property (e.g., Chib and Greenberg [1996] and Chib [2001]).3 In the Bayesian inference, we specify the prior density, denoted by,fora vector of the unknown ...