Testing for time variation in an unobserved components model for the U.S. economy

DOI10.1016/J.JEDC.2016.05.017zbMath1401.91488OpenAlexW2404821453MaRDI QIDQ1655731

Tino Berger, Hauke Vierke, Gerdie Everaert

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.05.017

zbMATH Keywords

stochastic volatilityBayesian model selectionPhillips curveunobserved componentsoutput gapOkuns law

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Econometrics with system priors ⋮ Reconciling output gaps: unobserved components model and Hodrick-Prescott filter ⋮ Okun's law across time and frequencies ⋮ The Phillips curve at 65: time for time and frequency ⋮ A unified approach for jointly estimating the business and financial cycle, and the role of financial factors ⋮ Decomposing the output gap with inflation learning

Uses Software

• bvarsv

Cites Work

• Stochastic volatility with leverage: fast and efficient likelihood inference
• Bayes and empirical-Bayes multiplicity adjustment in the variable-selection problem
• Structural evolution of the postwar U.S. economy
• Stochastic model specification search for Gaussian and partial non-Gaussian state space models
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• On Gibbs sampling for state space models
• Inflation Persistence
• The simulation smoother for time series models
• Time Varying Structural Vector Autoregressions and Monetary Policy

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