| Автор | Eric, Zivot |
| Автор | Peter, C.B. Phillips |
| Дата выпуска | 1994 |
| dc.description | In this paper we provide a comprehensive Bayesian posterior analysis of trend determination in general autoregressive models. Multiple lag autoregressive models with fitted drifts and time trends as well as models that allow for certain types of structural change in the deterministic components are considered. We utilize a modified information matrix-based prior that accommodates stochastic nonstationarity, takes into account the interactions between long-run and short-run dynamics and controls the degree of stochastic nonstationarity permitted. We derive analytic posterior densities for all of the trend determining parameters via the Laplace approximation to multivariate integrals. We also address the sampling properties of our posteriors under alternative data generating processes by simulation methods. We apply our Bayesian techniques to the Nelson-Plosser macroeconomic data and various stock price and dividend data. Contrary to DeJong and Whiteman (1989a,b,c), we do not find that the data overwhelmingly favor the existence of deterministic trends over stochastic trends. In addition, we find evidence supporting Perron's (1989) view that some of the Nelson and Plosser data are best construed as trend stationary with a change in the trend function occurring at 1929. |
| Формат | application.pdf |
| Издатель | Marcel Dekker, Inc |
| Копирайт | Copyright Taylor and Francis Group, LLC |
| Тема | Key Wordr And Phrases: Bayesian Analysis |
| Тема | Flat Prior |
| Тема | Fragile Inference |
| Тема | Hypergeometric Funaion |
| Тема | Ignorance Prior |
| Тема | Laplace Approximation |
| Тема | Structural Change |
| Тема | Unit Root |
| Название | A bayesian analysis of trend determination in economic time series |
| Тип | research-article |
| DOI | 10.1080/07474939408800290 |
| Electronic ISSN | 1532-4168 |
| Print ISSN | 0747-4938 |
| Журнал | Econometric Reviews |
| Том | 13 |
| Первая страница | 291 |
| Последняя страница | 336 |
| Аффилиация | Eric, Zivot; Department of Economics, Wellesley College |
| Аффилиация | Peter, C.B. Phillips; Cowles Foundation for Research in Economics, Yale University |
| Выпуск | 3 |
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