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Bayes factors 1 Business cycles 1 Factor model 1 Gibbs sampling 1 Markov switch-ing 1 Particle filter 1
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KAUFMANN, SYLVIA 1
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Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods
KAUFMANN, SYLVIA - In: Econometrics Journal 3 (2000) 1, pp. 39-65
A Markov switching common factor is used to drive a dynamic factor model for important macroeconomic variables in eight countries. Bayesian estimation of the model is based on Markov chain Monte Carlo simulation methods which yield inferences about the unobservable path of the common factor, the...
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