Bayesian estimation and model selection in the Generalized Stochastic Unit Root Model

Yang, Fuyu and Leon-Gonzalez, Roberto (2010) Bayesian estimation and model selection in the Generalized Stochastic Unit Root Model. Studies in Nonlinear Dynamics and Econometrics, 14 (4). ISSN 1558-3708

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Abstract

We develop Bayesian techniques for estimation and model comparison in a novel Generalized Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, while allowing the degree of persistence to change over time. In particular the model allows for shifts from stationarity I(0) to nonstationarity I(1) or vice versa. The empirical analysis demonstrates that the GSTUR model provides new insights on the properties of some macroeconomic time series such as stock market indices, inflation and exchange rates.

Item Type:	Article
Faculty \ School:	Faculty of Social Sciences > School of Economics
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance
Depositing User:	Julia Sheldrake
Date Deposited:	19 Jan 2011 17:11
Last Modified:	22 Apr 2023 00:29
URI:	https://ueaeprints.uea.ac.uk/id/eprint/19431
DOI:	10.2202/1558-3708.1766

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