This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Gary Koop (University of Edinburgh)
Herman K. van Dijk () (Erasmus University Rotterdam)
Henk Hoek (Erasmus University Rotterdam)

Additional information is available for the following registered author(s):

Abstract

In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to Dickey-Fuller tests of unit roots, while the latter are analogous to KPSS tests of trend-stationarity. We use Bayesian methods to survey the properties of the likelihood function in such models and to calculate posterior odds ratios comparing models with and without stochastic trends. In addition, we extend these ideas to the problem of testing for integration at seasonal frequencies and show how techniques can be used to carry out Bayesian variants of HEGY test or the Canova-Hansen test.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.tinbergen.nl/discussionpapers/97078.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 97-078/4.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 08 Aug 1997
Date of revision:
Handle: RePEc:dgr:uvatin:19970078

Contact details of provider:
Web page: http://www.tinbergen.nl/

For technical questions regarding this item, or to correct its listing, contact: (Walther Schoonenberg).

Related research
Keywords: State space models Bayes Factor Gibbs sampler unit root seasonality

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Koop, Gary & Potter, Simon M, 1999. "Dynamic Asymmetries in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 298-312, July.
    Other versions:
  2. Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206. [Downloadable!] (restricted)
  3. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
    Other versions:
  4. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  5. Gary Koop & Simon M. Potter, 2001. "Are apparent findings of nonlinearity due to structural instability in economic time series?," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 38.
    Other versions:
  6. Schotman, P. & Van Dijk, H.K., 1990. "A Bayesian Analysis Of The Unit Root In Real Exchange Rates," Papers 9015-a, Erasmus University of Rotterdam - Econometric Institute.
    Other versions:
  7. Hylleberg, S. & Pagan, A.R., 1995. "Seasonal Integration and the Evolving Seasonals Model," Papers 281, Australian National University - Department of Economics.
    Other versions:
  8. Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 147-74, Summer. [Downloadable!] (restricted)
  9. Kato, Hiroko & Naniwa, Sadao & Ishiguro, Makio, 1996. "A bayesian multivariate nonstationary time series model for estimating mutual relationships among variables," Journal of Econometrics, Elsevier, vol. 75(1), pages 147-161, November. [Downloadable!] (restricted)
  10. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
  11. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-64, Oct.-Dec.. [Downloadable!] (restricted)
    Other versions:
  12. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
    Other versions:
  13. Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March. [Downloadable!] (restricted)
    Other versions:
  14. Schotman, Peter C & van Dijk, Herman K, 1991. "On Bayesian Routes to Unit Roots," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 387-401, Oct.-Dec.. [Downloadable!] (restricted)
    Other versions:
  15. Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 157-66, April.
  16. Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Blackwell Publishing, vol. 65(3), pages 361-93, July. [Downloadable!] (restricted)
    Other versions:
  17. Fernandez, Carmen & Osiewalski, Jacek & Steel, Mark F. J., 1997. "On the use of panel data in stochastic frontier models with improper priors," Journal of Econometrics, Elsevier, vol. 79(1), pages 169-193, July. [Downloadable!] (restricted)
  18. Shively, Thomas S. & Kohn, Robert, 1997. "A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 39-52. [Downloadable!] (restricted)
  19. Hannan, E J & Terrell, R D & Tuckwell, N E, 1970. "The Seasonal Adjustment of Economic Time Series," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 11(1), pages 24-52, February. [Downloadable!] (restricted)
  20. DeJong, David N & Whiteman, Charles H, 1991. "The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function," American Economic Review, American Economic Association, vol. 81(3), pages 600-617, June. [Downloadable!] (restricted)
  21. Koop, Gary, 1992. "'Objective' Bayesian Unit Root Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(1), pages 65-82, Jan.-Marc. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. L. Bauwens & C.S. Bos & H.K. van Dijk, 1999. "Adaptive Polar Sampling with an application to a Bayes measure of Value-at-Risk," Econometric Institute Report 167, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  2. Charles S. Bos, 2002. "A Comparison of Marginal Likelihood Computation Methods," Tinbergen Institute Discussion Papers 02-084/4, Tinbergen Institute. [Downloadable!]
  3. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 01-017/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  4. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus. [Downloadable!]
  5. Philippe J. Deschamps, 2003. "Time-varying intercepts and equilibrium analysis: an extension of the dynamic almost ideal demand model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(2), pages 209-236. [Downloadable!]
  6. Richard Kleijn & Herman K. van Dijk, 2001. "A Bayesian Analysis of the PPP Puzzle using an Unobserved Components Model," Tinbergen Institute Discussion Papers 01-105/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  7. Richard Kleijn & Herman K. van Dijk, 2006. "Bayes model averaging of cyclical decompositions in economic time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 191-212. [Downloadable!]
  8. L. Bauwens & C.S. Bos & H.K. Van Dijk & R.D. Van Oest, 2003. "Adaptive radial-based direction sampling - some flexibel and robust Monte Carlo integration methods," Econometric Institute Report 327, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  9. C.S. Bos & R.J. Mahieu & H.K. Van Dijk, 2000. "On the variation of hedging decisions in daily currency risk management," Econometric Institute Report 206, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  10. Michiel D. de Pooter & René Segers & Herman K. van Dijk, 2006. "On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling," Tinbergen Institute Discussion Papers 06-076/4, Tinbergen Institute. [Downloadable!]
Statistics
Access and download statistics

Did you know? The yearly budget of IDEAS is exactly $0: it relies entirely on volunteer work.

This page was last updated on 2008-8-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.