On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
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- Bernardi Mauro & Della Corte Giuseppe & Proietti Tommaso, 2011. "Extracting the Cyclical Component in Hours Worked," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-28, May.
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More about this item
Keywords
Gibbs sampler; MCMC; serial correlation; non-stationarity; reduced rank models; state-space models; random effects panel data models;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-09-16 (Econometrics)
- NEP-ETS-2006-09-16 (Econometric Time Series)
- NEP-KNM-2006-09-16 (Knowledge Management and Knowledge Economy)
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