Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/142587 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
EERI Research Paper Series No. 25/2010
Verlag: 
Economics and Econometrics Research Institute (EERI), Brussels
Zusammenfassung: 
We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and deterministic trends. In particular, we formulate autoregressive models with stochastic trends components and decide on whether a specific feature of the series, i.e. the underlying level and/or the rate of drift, are fixed or evolutive.
Schlagwörter: 
Bayesian model selection
stationarity
unit roots
stochastic trends
variable selection
JEL: 
E32
C52
C22
Dokumentart: 
Working Paper

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