Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/142587 
Year of Publication: 
2010
Series/Report no.: 
EERI Research Paper Series No. 25/2010
Publisher: 
Economics and Econometrics Research Institute (EERI), Brussels
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

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