Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods

DOI10.1111/1368-423X.00038zbMath1038.91552OpenAlexW2128738261MaRDI QIDQ4762172

Sylvia Kaufmann

Publication date: 2000

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.00038

zbMATH Keywords

business cyclesBayes factorsMarkov switchingGibbs samplingparticle filterfactor model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Related Items (3)

Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques* ⋮ Stochastic model specification in Markov switching vector error correction models ⋮ Bayesian analysis of switching ARCH models

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