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| Author: | Chib, C. |
| Title: | Calculating posterior distributions and model estimates in Markov mixture models |
| Journal: | Journal of Econometrics
1996 : NOV, VOL. 75:1, p. 79-98 |
| Index terms: | ECONOMETRICS ECONOMICS MODELS |
| Language: | eng |
| Abstract: | This paper is concerned with finite mixture models in which the populations from one observation to the next are selected according to an unobserved Markov process. A new, full Bayesian approach based on the method of Gibbs sampling is developed. Calculations are simplified by data augmentation, achieved by introducing a population index variable into the list of unknown parameters. It is shown that the latent variables, one for each observation, can be simulated from their joint distribution given the data and the remaining parameters. |
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