Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots
AbstractIn 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
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0405002.
Length: 16 pages
Date of creation: 20 May 2004
Date of revision:
Note: Type of Document - pdf; pages: 16
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Bayesian Inference; Unit Root; Structural Break; MCMC; Semiparametric Regression; Nonlinear Time Trend; Random Walk Prior; Macroeconomic Time Series;
Find related papers by 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 &bull Diffusion Processes
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-26 (All new papers)
- NEP-ECM-2004-05-26 (Econometrics)
- NEP-ETS-2004-05-26 (Econometric Time Series)
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