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Bayesian Estimation and Model Selection in the Generalised Stochastic Unit Root Model

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  • Roberto Leon-Gonzalez
  • Fuyu Yang

Abstract

We develop Bayesian techniques for estimation and model comparison in a novel Generalised 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, in ation and ex- change rates.

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Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2010-006.

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Length: 36 pages
Date of creation: Jan 2010
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2010-006

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Keywords: Stochastic Unit Root; MCMC; Bayesian;

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