Bayesian Estimation of ARMA Model

[TomDoan]

This estimates an ARMA model using independence chain Metropolis, drawing proposals from the asymptotic distribution for the maximum likelihood estimates. These are truncated at the invertibility boundaries.

armagibbs.rpf

Program file

(2.76 KiB) Downloaded 88 times

quarterly.xls

Data file

(25.02 KiB) Downloaded 66 times