Anjali Chouhan

Independent

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Scholarly Papers (1)

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Modeling the Business and Financial Cycle in a Multivariate Structural Time Series Model

De Nederlandsche Bank Working Paper No. 573
Number of pages: 44 Posted: 24 Oct 2017
De Nederlandsche Bank, Vrije Universiteit Amsterdam - School of Business and Economics, De Nederlandsche Bank and Independent
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Abstract:

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Unobserved Component Time Series Model, Kalman Filter, Maximum Likelihood Estimation, Short-Term And Medium-Term Cycles