Munich Personal RePEc Archive

Characterizing economic trends by Bayesian stochastic model specification search

Grassi, Stefano and Proietti, Tommaso (2010): Characterizing economic trends by Bayesian stochastic model specification search.

This is the latest version of this item.

[img]
Preview
PDF
MPRA_paper_22570.pdf

Download (525kB) | Preview

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.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.