PURPOSE: MCMC estimates Bayesian heteroscedastic AR(k) model imposing stability restrictions using Gibbs sampling y = b0+ y(t-1) b1+ y(t-2) b2+,...,y(t-k) bk+ E, E = N(0,sige*V), sige = gamma(nu,d0), b = N(c,T), V = diag(v1,v2,...vn), r/vi = ID chi(r)/r, r = Gamma(m,k)

ar_g.m

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