Bayesian stochastic model specification search for seasonal and calendar effects
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 27305.
Date of creation: 2010
Date of revision:
Seasonality; Structural time series models; Variable selection.;
Other versions of this item:
- Stefano Grassi & Tommaso Proietti, 2011. "Bayesian stochastic model specification search for seasonal and calendar effects," CREATES Research Papers 2011-08, School of Economics and Management, University of Aarhus.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-18 (All new papers)
- NEP-ECM-2010-12-18 (Econometrics)
- NEP-ORE-2010-12-18 (Operations Research)
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.:
- Frühwirth-Schnatter, Sylvia & Wagner, Helga, 2010. "Stochastic model specification search for Gaussian and partial non-Gaussian state space models," Journal of Econometrics, Elsevier, vol. 154(1), pages 85-100, January.
- J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Biometrika Trust, vol. 89(3), pages 603-616, August.
- Gary Koop & Herman K. van Dijk & Henk Hoek, 1997.
"Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach,"
Tinbergen Institute Discussion Papers
97-078/4, Tinbergen Institute.
- Koop, Gary & Dijk, Herman K. Van, 2000. "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 97(2), pages 261-291, August.
- Gary Koop & Herman K. van Dijk, 1999. "Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach," Tinbergen Institute Discussion Papers 99-072/4, Tinbergen Institute.
- Koop, G. & van Dijk, H.K., 1999. "Testing for integration using evolving trend and seasonal models: A Bayesian approach," Econometric Institute Research Papers EI 9934/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Dagum, Estela Bee & Quenneville, Benoit, 1993. "Dynamic linear models for time series components," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 333-351.
- Hylleberg, S. & Pagan, A. R., 1997.
"Seasonal integration and the evolving seasonals model,"
International Journal of Forecasting,
Elsevier, vol. 13(3), pages 329-340, September.
- Hylleberg, S. & Pagan, A.R., 1995. "Seasonal Integration and the Evolving Seasonals Model," Papers 281, Australian National University - Department of Economics.
- Arnold Zellner, 1979.
"Seasonal Analysis of Economic Time Series,"
National Bureau of Economic Research, Inc, number zell79-1.
- Strickland, Chris M. & Martin, Gael M. & Forbes, Catherine S., 2008.
"Parameterisation and efficient MCMC estimation of non-Gaussian state space models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 52(6), pages 2911-2930, February.
- Chris M Strickland & Gael Martin & Catherine S Forbes, 2006. "Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models," Monash Econometrics and Business Statistics Working Papers 22/06, Monash University, Department of Econometrics and Business Statistics.
- Busetti, Fabio & Harvey, Andrew, 2003. "Seasonality Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 420-36, July.
- Ghysels,Eric & Osborn,Denise R., 2001.
"The Econometric Analysis of Seasonal Time Series,"
Cambridge University Press, number 9780521565882, October.
- 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.
- Rolando Gonzales Martinez, 2012. "Baysian seasonal analysis with robust priors," InvestigaciÃ³n & Desarrollo 0312, Universidad Privada Boliviana, revised Jan 2012.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.