Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components
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DOI: 10.17016/FEDS.2024.100
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More about this item
Keywords
Bayesian estimation; Maximum likelihood estimation; Online forecasting; Out-of-sample forecasting; Parameter uncertainty; Sequential Monte Carlo methods; Trend-cycle decomposition;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DCM-2025-01-13 (Discrete Choice Models)
- NEP-ECM-2025-01-13 (Econometrics)
- NEP-ETS-2025-01-13 (Econometric Time Series)
- NEP-FOR-2025-01-13 (Forecasting)
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