Harvey, Andrew C. (contributor); … - 2005
appropriate prior distributions for the parameters in
the cyclical components and in developing Markov chain Monte Carlo
methods …, Kalman �lter, Markov chain Monte
Carlo, real-time estimation, turning points, unobserved components.
JEL classi�cation: C11 …. Technical details on
the state space form and the Markov chain Monte Carlo algorithms for the
univariate and multivariate cases …