Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox
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More about this item
Keywords
Particle filter; Metropolis-Hastings; Unobserved components; Bayes;
All these keywords.JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-08-31 (Econometrics)
- NEP-ETS-2013-08-31 (Econometric Time Series)
- NEP-ORE-2013-08-31 (Operations Research)
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