Flexible model comparison of unobserved components models using particle Gibbs with ancestor sampling

被引：1
|
作者：
Nonejad, Nima [1 ,2 ]
机构：
[1] Univ Roma Tor Vergata, I-00133 Rome, Italy
[2] CREATES, Helsingor, Denmark
来源：
ECONOMICS LETTERS | 2015年 / 133卷
关键词：
Gibbs sampling; Particle filtering; Model comparison; STOCHASTIC VOLATILITY; INFLATION;
D O I：
10.1016/j.econlet.2015.04.034
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we show that particle Gibbs with ancestor sampling (PG-AS) provides a unified and flexible framework for estimation and model comparison of unobserved components models with time-varying volatility effects, which are widely used in inflation rate modeling. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：35 / 39
页数：5
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