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Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots

Author

Listed:
  • Ricardo Gonçalves Silva

    (Instituto de Ciências Matemáticas e de Computação)

Abstract

In this paper we consider bayesian semiparametric regression within the generalized linear model framework. Specifically, we study a class of autoregressive time series where the time trend is incorporated in a nonparametrically way. Estimation and inference where performed through Markov Chain Monte Carlo simulation techniques. Main results show that treating the time trend nonparametrically possible model misspecification and biased results from structural break issues are solved. Empirical applications are conducted using the extended Nelson and Plosser benchmark time series

Suggested Citation

  • Ricardo Gonçalves Silva, 2004. "Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots," Econometrics 0405002, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:0405002
    Note: Type of Document - pdf; pages: 16
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Bayesian Inference; Unit Root; Structural Break; MCMC; Semiparametric Regression; Nonlinear Time Trend; Random Walk Prior; Macroeconomic Time Series;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory

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