The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives
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Cited by:
- Kurt F. Lewis & Francisco Vazquez-Grande, 2017. "Measuring the Natural Rate of Interest : Alternative Specifications," Finance and Economics Discussion Series 2017-059, Board of Governors of the Federal Reserve System (U.S.).
More about this item
Keywords
pile-up problem; ARMA model; Unobserved-Components Model; Profile likelihood; marginal powterior density; Trend-Cycle decomposition;JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2013-11-16 (All new papers)
- NEP-ECM-2013-11-16 (Econometrics)
- NEP-ETS-2013-11-16 (Econometric Time Series)
- NEP-MAC-2013-11-16 (Macroeconomics)
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