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Title:Bayesian estimation and model selection in the generalised stochastic unit root model PDF Logo
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

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