Trends and cycles in economic time series: a Bayesian approach
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Publication:451267
DOI10.1016/J.JECONOM.2006.07.006zbMATH Open1247.91149OpenAlexW1978475619MaRDI QIDQ451267FDOQ451267
Andrew C. Harvey, Thomas M. Trimbur, Herman K. Van Dijk
Publication date: 23 September 2012
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://repub.eur.nl/pub/6913/EI2005-27.pdf
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Cites Work
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- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- On Gibbs sampling for state space models
- A simple and efficient simulation smoother for state space time series analysis
- The simulation smoother for time series models
- Bayes Factors
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- Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
- Computing Bayes Factors by Combining Simulation and Asymptotic Approximations
- Testing for integration using evolving trend and seasonals models: A Bayesian approach.
- Effects of the Hodrick-Prescott filter on trend and difference stationary time series
- Properties of higher order stochastic cycles
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- Bayesian inference on periodicities and component spectral structure in time series
- Priors and Component Structures in Autoregressive Time Series Models
Cited In (20)
- The local quadratic trend model
- On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
- EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING*
- A bayesian analysis of trend determination in economic time series
- The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
- Multivariate time series analysis from a Bayesian machine learning perspective
- Inference for the Hyperparameters of Structural Models Under Classical and Bayesian Perspectives: A Comparison Study
- Bayesian non-parametric signal extraction for Gaussian time series
- Bayesian estimation of an extended local scale stochastic volatility model
- The information content of capacity utilization for detrending total factor productivity
- Reconciling output gaps: unobserved components model and Hodrick-Prescott filter
- Testing for integration using evolving trend and seasonals models: A Bayesian approach.
- Efficient Bayesian estimation of multivariate state space models
- Extracting the Cyclical Component in Hours Worked
- Modelled approximations to the ideal filter with application to GDP and its components
- Modelling phase shifts among stochastic cycles
- Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models
- A non-linear Keynesian Goodwin-type endogenous model of the cycle: Bayesian evidence for the USA
- Title not available (Why is that?)
- Chapter 8 Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series
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