Cyclical Components in Economic Time Series: a Bayesian Approach
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Authors
Harvey, Andrew C.
Trimbur, Thomas
van Dijk, Herman
Publication Date
2004-06-16Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Language
en_GB
Type
Working Paper
Metadata
Show full item recordCitation
Harvey, A. C., Trimbur, T., & van Dijk, H. (2004). Cyclical Components in Economic Time Series: a Bayesian Approach. https://doi.org/10.17863/CAM.5196
Abstract
Cyclical components in economic time series are analysed in a Bayesian framework, thereby allowing prior notions about periodicity to be used. The method is based on a general class of unobserved component models that allow relatively smooth cycles to be extracted. Posterior densities of parameters and smoothed cycles are obtained using Markov chain Monte Carlo methods. An application to estimating business cycles in macroeconomic series illustrates the viability of the procedure for both univariate and bivariate models.
Keywords
Gibbs sampler, Kalman filter, Markov chain Monte Carlo, state space, unobserved components, Classification-JEL: C11, C32, E32, band pass filter
Identifiers
This record's DOI: https://doi.org/10.17863/CAM.5196
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