Bayesian Analysis of an Unobserved-Component Time Series Model of GDP with Markov-Switching and Time-Varying Growths.
We propose an unobserved-component time series model of gross domestic product that includes Markov switching as an unobserved component. In addition to a trend component, the model has two time-varying drift components. One drift represents the expected rate of growth during recession; the other drift represents the expected rate during expansion. Estimates indicate a substantial decline in the latter annual rate for the United States from 6.4% in 1950 to 3.6% by 1990. We have employed weak priors based on prewar data. The estimation makes use of the Gibbs sampler and the Metropolis algorithm.
Year of publication: |
1999
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Authors: | Luginbuhl, Rob ; de Vos, Aart |
Published in: |
Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 17.1999, 4, p. 456-65
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Publisher: |
American Statistical Association |
Saved in:
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