Particle Filter for non-linear model with stochastic volatility shock

Estimation ML/Bayesian estimation
13
  1. You cannot easily do a two-step approach, because the model is nonlinear, i.e. there will be an effect of the SV parameters on the regression coefficients.
  2. I would be surprised if there is really convergence to a different distribution. I would rather expect that the MCMC has not converged to its ergodic distribution yet. That is why you need to do convergence checks.