Chan, Chi Chun (Joshua)Jeliazkov, Ivan2015-12-082040-3607http://hdl.handle.net/1885/32715We consider the problem of implementing simple and efficient Markov chain Monte Carlo (MCMC) estimation algorithms for state space models. A conceptually transparent derivation of the posterior distribution of the states is discussed, which also leads toKeywords: Banded matrix; Bayesian estimation; Collapsed sampler; Dynamic factor model; Kalman filter; Markov chain Monte Carlo; MCMC; State smoothing; Time-varying parameter model200910.1504/IJMMNO.2009.0300902016-02-24