Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39321 
Year of Publication: 
2010
Series/Report no.: 
SFB 649 Discussion Paper No. 2010,006
Publisher: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
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

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.