WZSAMPLER—Waggoner-Zha Gibbs Sampler
Posted: Thu Jun 26, 2025 10:37 am
WZSAMPLER uses the Waggoner-Zha(2003), “A Gibbs sampler for structural vector autoregressions,” Journal of Economic Dynamics and Control, 28(2), 349–366 to analyze the A form model from the CVMODEL.RPF example. (The WZ sampler only applies to A form models).
Detailed Description
Detailed Description