Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling

DOI10.1016/J.ECONLET.2015.04.034zbMath1364.91115OpenAlexW1916175385MaRDI QIDQ529772

Nima Nonejad

Publication date: 9 June 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.04.034

zbMATH Keywords

Gibbs samplingmodel comparisonparticle filtering

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Multivariate Wishart stochastic volatility and changes in regime

Cites Work

• Unnamed Item
• Moving average stochastic volatility models with application to inflation forecast
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Has the Volatility of U.S. Inflation Changed and How?

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