Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107825
Authors: 
Basturk, Nalan
Ceyhan, Pinar
van Dijk, Herman K.
Year of Publication: 
2014
Series/Report no.: 
Tinbergen Institute Discussion Paper 14-119/III
Abstract: 
Time varying patterns in US growth are analyzed using various univariate model structures, starting from a naive model structure where all features change every period to a model where the slow variation in the conditional mean and changes in the conditional variance are specified together with their interaction, including survey data on expected growth in order to strengthen the information in the model. Use is made of a simulation based Bayesian inferential method to determine the forecasting performance of the various model specifications. The extension of a basic growth model with a constant mean to models including time variation in the mean and variance requires careful investigation of possible identification issues of the parameters and existence conditions of the posterior under a diffuse prior. The use of diffuse priors leads to a focus on the likelihood fu nction and it enables a researcher and policy adviser to evaluate the scientific information contained in model and data. Empirical results indicate that incorporating time variation in mean growth rates as well as in volatility are important in order to improve for the predictive performances of growth models. Furthermore, using data information on growth expectations is important for forecasting growth in specific periods, such as the the recession periods around 2000s and around 2008.
Subjects: 
Growth
Time varying parameters
Expectations data
JEL: 
C11
C22
E17
Document Type: 
Working Paper

Files in This Item:
File
Size
457.47 kB





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