Cyclical Components in Economic Time Series: a Bayesian Approach
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- Herman K. van Dijk & Andrew Harvey & Thomas Trimbur, 2004. "Cyclical components in economic time series: A Bayesian approach," Econometric Society 2004 Australasian Meetings 105, Econometric Society.
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More about this item
Keywordsband pass filter; Gibbs sampler; Kalman filter; Markov chain Monte Carlo; state space; unobserved components;
- 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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