Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox

Abstract

This paper details particle Markov chain Monte Carlo (PMCMC) techniques for analysis of unobserved component time series models using several economic data sets. PMCMC provides a very compelling, computationally fast and efficient framework for estimation and model comparison. For instance, we estimate a stochastic volatility model with leverage effect and one with Student-t distributed errors. We also model time series characteristics of US inflation rate by considering a heteroskedastic ARFIMA model where heteroskedasticity is specified by means of a Gaussian stochastic volatility process