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- Fri Mar 13, 2015 11:42 am
- Forum: State Space Models/DSGE
- Topic: Dynamic CAPM with the Gibbs Sampler
- Replies: 1
- Views: 6121
Dynamic CAPM with the Gibbs Sampler
Dear TomDoan, I'am trying to estimate a Dynamic CAPM (dynamic beta) with the Gibbs Sampler. model.jpg My code, so far, is just a variation around "Lutkepohl, New Introduction, example 18.5 from pp 637-639". I was wondering if you can take a quick look at it, and maybe run it as well, to te...