The Estimation of Dynamic Bivariate Mixture Models

Watanabe estimated the dynamic bivariate mixture models introduced by Tauchen and Pitts and modified by Andersen using a Bayesian method via Markov chain Monte Carlo techniques. Based on a maximum likelihood method via efficient importance sampling, Liesenfeld and Richard obtained estimates that are significantly different from those of Watanabe. This note corrects the error in the multimove sampler used by Watanabe and reproduces all analyses in the work of Watanabe using a corrected multimove sampler. The estimates using the correct multimove sampler are found to be close to those obtained by Liesenfeld and Richard.