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Exploring economic time series: a Bayesian graphical approach

Author

Listed:
  • J. M. Marriott
  • J. C. Naylor
  • A. R. Tremayne

Abstract

Many macroeconomic time series exhibit non-stationary behaviour. When modelling such series an important problem is to assess the nature of this non-stationary behaviour. Initial interest centred on two types of linear non-stationary models, namely those for which the removal of a trend induces stationarity and those for which taking the first difference produces a stationary series. The latter are referred to as unit root models. More recently, other models such as state space models have proved popular. Copyright Royal Economic Society, 2003

Suggested Citation

  • J. M. Marriott & J. C. Naylor & A. R. Tremayne, 2003. "Exploring economic time series: a Bayesian graphical approach," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 124-145, June.
  • Handle: RePEc:ect:emjrnl:v:6:y:2003:i:1:p:124-145
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    Citations

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    Cited by:

    1. Naylor, J.C. & Tremayne, A.R. & Marriott, J.M., 2010. "Exploratory data analysis and model criticism with posterior plots," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2707-2720, November.
    2. Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary University of London, School of Economics and Finance.
    3. Kelvin Balcombe & Iain Fraser & Abhijit Sharma, 2011. "Bayesian model averaging and identification of structural breaks in time series," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3805-3818.
    4. Yoon, Gawon, 2005. "Has the U.S. economy really become less correlated with that of the rest of the world?," Economic Modelling, Elsevier, vol. 22(1), pages 147-158, January.
    5. Iolanda Lo Cascio & Stephen Pollock, 2007. "Comparative Economic Cycles," Working Papers 599, Queen Mary University of London, School of Economics and Finance.
    6. Gawon Yoon, 2005. "Stochastic Unit Roots in the Capital Asset Pricing Model?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(4), pages 369-389, October.

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