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Exploring economic time series: a Bayesian graphical approach

✍ Scribed by J. M. Marriott; J. C. Naylor; A. R. Tremayne


Book ID
108513056
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
177 KB
Volume
6
Category
Article
ISSN
1368-4221

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## Abstract This article develops a new method for detrending time series. It is shown how, in a Bayesian framework, a generalized version of the Hodrick–Prescott filter is obtained by specifying prior densities on the signal‐to‐noise ratio (__q__) in the underlying unobserved components model. Thi