Bayesian Analysis of Deterministic Time Trend and Changes in Persistence Using a Generalised Stochastic Unit Root Model
This paper makes use of the novel Generalized Stochastic Unit Root (GSTUR) model, Bayesian model estimation and model comparison techniques to investigate the presence of a deterministic time trend in economic series. The model is specified to allow for changes in persistence over time, such as shifts from stationarity I(0) to nonstationarity I(1) or vice versa. This uncertainty raises the crucial question about how sure one can be that an economic time series has a deterministic trend when there is a change in the underlying properties. Empirical analysis indicates that the GSTUR model could provide new insights on time series studies.
|Date of creation:||Nov 2007|
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- Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., .
"Bayesian analysis of long memory and persistence using ARFIMA models,"
CORE Discussion Papers RP
1246, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
- KOOPÂ , Gary & LEYÂ , Eduardo & OSIEWALSKIÂ , Jacek & STEELÂ , MarkÂ , 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," CORE Discussion Papers 1995035, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Econometrics 9505001, EconWPA, revised 11 Jul 1995.
- Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics.
- Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
- Dirk Te Velde, 2001. "Balance of payments prospects in EMU," NIESR Discussion Papers 178, National Institute of Economic and Social Research.
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