Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
Year of publication: |
2022
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Authors: | Li, Mengheng ; Mendieta-Muñoz, Ivan |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 26.2022, 3, p. 337-359
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Subject: | identification via heteroskedasticity | permanent and transitory shocks | spillover structural effects | state space models | trends and cycles | unobserved components | Schock | Shock | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Bayes-Statistik | Bayesian inference | Konjunktur | Business cycle | VAR-Modell | VAR model | Spillover-Effekt | Spillover effect | Schätzung | Estimation | Heteroskedastizität | Heteroscedasticity |
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