Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142587
Authors: 
Grassi, Stefano
Proietti, Tommaso
Year of Publication: 
2010
Series/Report no.: 
EERI Research Paper Series 25/2010
Abstract: 
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.
Subjects: 
Bayesian model selection
stationarity
unit roots
stochastic trends
variable selection
JEL: 
E32
C52
C22
Document Type: 
Working Paper

Files in This Item:
File
Size





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