Grassi, Stefano and Proietti, Tommaso (2010): Characterizing economic trends by Bayesian stochastic model specifi cation search.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Characterizing economic trends by Bayesian stochastic model specifi cation search|
|Keywords:||Bayesian model selection; stationarity; unit roots; stochastic trends; variable selection.|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
|Depositing User:||Tommaso Proietti|
|Date Deposited:||09. May 2010 14:30|
|Last Modified:||22. Feb 2013 19:14|
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