Sequentially Adaptive Bayesian Learning for a Nonlinear Model of the Secular and Cyclical Behavior of US Real GDP
Abstract
There is a one-to-one mapping between the conventional time series parameters of a third-order autoregression and the more interpretable parameters of secular half-life, cyclical half-life and cycle period. The latter parameterization is better suited to interpretation of results using both Bayesian and maximum likelihood methods and to expression of a substantive prior distribution using Bayesian methods. The paper demonstrates how to approach...
Paper Details
Title
Sequentially Adaptive Bayesian Learning for a Nonlinear Model of the Secular and Cyclical Behavior of US Real GDP
Published Date
Mar 2, 2016
Journal
Volume
4
Issue
1
Pages
10 - 10
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