Consider the following model:

yt = t+ t t N(0 2)

p t

=

j t j + t t N(0 2)

j=1 This model is a simpli ed version of that proposed in West (1997c).

Develop the conditional distributions required to de ne an MCMC algo rithm to obtain samples from p( 1:T 2 2y1:T) and implement the algorithm.