Munich Personal RePEc Archive

Bayesian stochastic model specification search for seasonal and calendar effects

Tommaso, Proietti and Stefano, Grassi (2010): Bayesian stochastic model specification search for seasonal and calendar effects.

[img]
Preview
PDF
MPRA_paper_27305.pdf

Download (233kB) | Preview

Abstract

We apply a recent methodology, Bayesian stochastic model specification search (SMSS), for the selection of the unobserved components (level, slope, seasonal cycles, trading days effects) that are stochastically evolving over time. SMSS hinges on two basic ingredients: the non-centered representation of the unobserved components and the reparameterization of the hyperparameters representing standard deviations as regression parameters with unrestricted support. The choice of the prior and the conditional independence structure of the model enable the definition of a very efficient MCMC estimation strategy based on Gibbs sampling. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and deterministic trends, fixed and evolutive seasonal and trading day effects.

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