Bayesian Analysis of an Unobserved-Component Time Series Model of GDP with Markov-Switching and Time-Varying Growths
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- Chin Nam Low & Heather Anderson & Ralph D. Snyder, 2006.
"Beveridge-Nelson Decomposition with Markov Switching,"
Monash Econometrics and Business Statistics Working Papers
17/06, Monash University, Department of Econometrics and Business Statistics.
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- Eliana González & Luis F. Melo & Luis E. Rojas & Brayan Rojas, 2010. "Estimations of the natural rate of interest in Colombia," Borradores de Economia 626, Banco de la Republica de Colombia.
- Beatriz C. Galvao, Ana, 2002. "Can non-linear time series models generate US business cycle asymmetric shape?," Economics Letters, Elsevier, vol. 77(2), pages 187-194, October.
- Andreas Graflund, 2000. "A Bayes Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Econometric Society World Congress 2000 Contributed Papers 1363, Econometric Society.
- Siem Jan Koopman & Kai Ming Lee, 2005. "Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series," Tinbergen Institute Discussion Papers 05-081/4, Tinbergen Institute.
- Graflund, Andreas, 2001. "Are the Nordic Stock Markets Mean Reverting?," Working Papers 2001:15, Lund University, Department of Economics.
- Shami, R.G. & Forbes, C.S., 2000. "A structural Time Series Model with Markov Switching," Monash Econometrics and Business Statistics Working Papers 10/00, Monash University, Department of Econometrics and Business Statistics.
- Koopman, Siem Jan & Franses, Philip Hans, 2002.
" Constructing Seasonally Adjusted Data with Time-Varying Confidence Intervals,"
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Department of Economics, University of Oxford, vol. 64(5), pages 509-526, December.
- Koopman, S.J. & Franses, Ph.H.B.F., 2001. "Constructing seasonally adjusted data with time-varying confidence intervals," Econometric Institute Research Papers EI 2001-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Sinclair Tara M, 2009. "Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(1), pages 1-31, December.
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