Template-Type: ReDIF-Paper 1.0
Author-Name: Harvey, A.C.
Author-Name-Last: Harvey
Author-Name-First: Andrew
Author-Name: Trimbur, T.M.
Author-Name-Last: Trimbur
Author-Name-First: Thomas
Author-Name: van Dijk, H.K.
Author-Name-Last: van Dijk
Author-Name-First: Herman
Author-Person: pva325
Title: Cyclical components in economic time series
Abstract: Cyclical components in economic time series are analysed in a Bayesian framework, thereby  allowing prior notions about periodicity to be used. The method is based on a general class  of unobserved component models that allow relatively smooth cycles to be extracted.  Posterior densities of parameters and smoothed cycles are obtained using Markov chain  Monte Carlo methods. An application to estimating business cycles in macroeconomic series  illustrates the viability of the procedure for both univariate and bivariate models.
Creation-Date: 2002-11-14
File-URL: https://repub.eur.nl/pub/540/feweco20021114112026.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2002-20
Keywords: Band pass filter, Gibbs sampler, Kalman filter, Markov chain Monte Carlo, State space, Unobserved components
Handle: RePEc:ems:eureir:540