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

Nima Nonejad

Economics Letters, 2015, vol. 133, issue C, 35-39

Abstract: 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.

Keywords: Gibbs sampling; Particle filtering; Model comparison (search for similar items in EconPapers)
JEL-codes: C11 C22 C52 C63 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:133:y:2015:i:c:p:35-39

DOI: 10.1016/j.econlet.2015.04.034

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