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Cyclical Components in Economic Time Series: a Bayesian Approach

Author

Listed:
  • Harvey, A.
  • TTrimbur, T.
  • van Dijk, H.

Abstract

Cyclical components in economic time series are analysed in a Bayesian framework, thereby allowing prior notions about periodicity to be used. The method is based on a general class of unobserved component models that allow relatively smooth cycles to be extracted. Posterior densities of parameters and smoothed cycles are obtained using Markov chain Monte Carlo methods. An application to estimating business cycles in macroeconomic series illustrates the viability of the procedure for both univariate and bivariate models.

Suggested Citation

  • Harvey, A. & TTrimbur, T. & van Dijk, H., 2003. "Cyclical Components in Economic Time Series: a Bayesian Approach," Cambridge Working Papers in Economics 0302, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:0302
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    File URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/wp0302.pdf
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    Cited by:

    1. Richard Kleijn & Herman K. van Dijk, 2006. "Bayes model averaging of cyclical decompositions in economic time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 191-212.
    2. Klaus Abberger & Gebhard Flaig & Wolfgang Nierhaus, 2007. "ifo Konjunkturumfragen und Konjunkturanalyse : ausgewählte methodische Aufsätze aus dem ifo Schnelldienst," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 33.
    3. Martha López P., 2004. "Efficient Policy Rule for Inflation Targeting in Colombia," Money Affairs, CEMLA, vol. 0(1), pages 1-24, January-J.
    4. Wayne Robinson, 2004. "Real Shocks, Credibility & Stabilization Policy in a Small Open Economy," Money Affairs, CEMLA, vol. 0(1), pages 39-55, January-J.
    5. Luis Gonzalo Llosa & Shirley Miller, 2004. "Using Additional Information in Estimating the Output Gap in Peru: a Multivariate Unobserved Component Approach," Money Affairs, CEMLA, vol. 0(1), pages 57-82, January-J.
    6. Adriana Arreaza & Enid Blanco & Miguel Dorta, 2004. "A Small Scale Macroeconomic Model for Venezuela," Money Affairs, CEMLA, vol. 0(1), pages 25-38, January-J.
    7. Harm Bandholz & Gebhard Flaig & Johannes Mayr, 2005. "Growth and economic activity in OECD countries: A long-term perspective," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(04), pages 28-36, February.
    8. Thomas M. Trimbur, 2006. "Properties of higher order stochastic cycles," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(1), pages 1-17, January.

    More about this item

    Keywords

    band pass filter; Gibbs sampler; Kalman filter; Markov chain Monte Carlo; state space; unobserved components;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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