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~institution:"EconWPA"
~institution:"Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam"
~institution:"Finance Discipline Group, Business School"
~person:"Harvey, Harvey, A.C."
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Markov chain Monte Carlo
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Kalman filter
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unobserved components
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band pass filter
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Harvey, Harvey, A.C.
van Dijk, Herman K.
13
Chiarella, Carl
7
Platen, Eckhard
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Bauwens, Luc
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Bos, Charles
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Chib, Siddhartha
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Hoogerheide, Hoogerheide, L.F.
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Kaashoek, Kaashoek, J.F.
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Kang, Boda
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Ley, Eduardo
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Steel, Mark F.J.
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Fernandez, Carmen
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Greenberg, Edward
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Steel, Mark
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Trimbur, Trimbur, T.M.
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van Oest, van Oest, R.D.
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Benhamou, Eric
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Bruti-Liberati, Nicola
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Fanelli, Viviana
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Heath, David
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Keller, Wolfgang
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Kocenda, Evzen
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Mergner, Sascha
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Musti, Silvana
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van Dijk, Dick
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ABOURA, Sofiane
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Abrahamson, Allen
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Basci, Erdem
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EconWPA
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Finance Discipline Group, Business School
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Econometric Institute Research Papers
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Trends and cycles in economic time series: A Bayesian approach
van Dijk, Herman K.
;
Harvey, Harvey, A.C.
;
Trimbur, …
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2005
the cyclical components and in developing Markov chain
Monte
Carlo methods for both univariate and multivariate models …
Persistent link: https://www.econbiz.de/10010837758
Saved in:
2
Bayes estimates of the cyclical component in twentieth centruy US gross domestic product
van Dijk, Herman K.
;
Harvey, Harvey, A.C.
;
Trimbur, …
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2004
densities of parameters and estimated components are obtained using Markov chain
Monte
Carlo methods, which we develop for both …
Persistent link: https://www.econbiz.de/10010837772
Saved in:
3
Cyclical components in economic time series
van Dijk, Herman K.
;
Harvey, Harvey, A.C.
;
Trimbur, …
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2002
to be extracted. Posterior densities of parameters and smoothed cycles are obtained using Markov chain
Monte
Carlo …
Persistent link: https://www.econbiz.de/10010731918
Saved in:
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