Specification tests for time-varying parameter models with stochastic volatility
Year of publication: |
2018
|
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Authors: | Chan, Joshua |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 37.2018, 6/10, p. 807-823
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Subject: | Bayesian model comparison | inflation uncertainty | NAIRU | state space | Theorie | Theory | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Zustandsraummodell | State space model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling | Stochastischer Prozess | Stochastic process | Inflationserwartung | Inflation expectations |
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