Article
Licensed
Unlicensed
Requires Authentication
Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model
-
Published/Copyright:
September 13, 2010
We develop Bayesian techniques for estimation and model comparison in a novel Generalized Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, while allowing the degree of persistence to change over time. In particular the model allows for shifts from stationarity I(0) to nonstationarity I(1) or vice versa. The empirical analysis demonstrates that the GSTUR model provides new insights on the properties of some macroeconomic time series such as stock market indices, inflation and exchange rates.
Published Online: 2010-9-13
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
You are currently not able to access this content.
You are currently not able to access this content.
Articles in the same Issue
- Article
- Skew-Normal Mixture and Markov-Switching GARCH Processes
- Covariate Measurement Error: Bias Reduction under Response-Based Sampling
- Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models
- Fundamental and Behavioural Drivers of Electricity Price Volatility
- Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model
- A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions
Articles in the same Issue
- Article
- Skew-Normal Mixture and Markov-Switching GARCH Processes
- Covariate Measurement Error: Bias Reduction under Response-Based Sampling
- Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models
- Fundamental and Behavioural Drivers of Electricity Price Volatility
- Bayesian Estimation and Model Selection in the Generalized Stochastic Unit Root Model
- A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions
