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)-　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)