|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/39321
|
| | |
| Title: | | Bayesian estimation and model selection in the generalised stochastic unit root model  |
| Authors: | | Yang, Fuyu Leon-Gonzalez, Roberto |
| Issue Date: | | 2010 |
| Series/Report no.: | | SFB 649 discussion paper 2010,006 |
| Abstract: | | We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, while allowing the degree of persistence to change over time. In particular the model allows for shifts from stationarity I(0) to nonstationarity I(1) or vice versa. The empirical analysis demonstrates that the GSTUR model provides new insights on the properties of some macroeconomic time series such as stock market indices, inflation and exchange rates. |
| Subjects: | | Stochastic Unit Root MCMC Bayesian |
| JEL: | | C11 C32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/39321
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|