Identifying Business Cycle Turning Points in Real Time
نویسندگان
چکیده
منابع مشابه
Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods
We apply sequential Monte Carlo (SMC) to the detection of turning points in the business cycle and to the evaluation of useful statistics employed in business cycle analysis. The proposed nonlinear filtering method is very useful for sequentially estimating the latent variables and the parameters of nonlinear and non-Gaussian time-series models, such as the Markov-switching (MS) models studied ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.367620