The Role of Sectoral Shifts in the Great Moderation
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More about this item
KeywordsGreat moderation; Sectoral Shifts; Stochastic Volatility; Wishart Autoregressive Process; Particle Filter; ARCH-GARCH; Bayesian Estimation;
- 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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