Bayesian analysis of output gap in Barbados

Terence D. Agbeyegbe

This article contributes to understanding the performance of various unobserved components (UC) models in fitting Barbados’ real GDP. Relying on recent UC models techniques, it finds support for the UC model that captures correlated disturbances, but not for the model that does not. The best model is the correlated UC model with two breaks: 1981 and 2008. Estimates show that the trend and cycle innovations are positively correlated. There is evidence suggesting that trend output growth has slowdown in the past decade. The Bayes factor result indicates that the GDP trend is better modeled as a stochastic process rather than a deterministic one.

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Year of publication:	2020
Authors:	Agbeyegbe, Terence D.
Published in:	Latin American journal of central banking : LAJCB. - Amsterdam : Elsevier, ISSN 2666-1438, ZDB-ID 3035191-1. - Vol. 1.2020, 1/4, Art.-No. 100020, p. 1-14
Subject:	Caribbean \| Output gap \| Trend \| Unobserved Component \| Barbados \| Bruttoinlandsprodukt \| Gross domestic product \| Produktionspotenzial \| Potential output \| Zeitreihenanalyse \| Time series analysis \| Bayes-Statistik \| Bayesian inference \| Karibischer Raum \| Caribbean countries \| Konjunktur \| Business cycle \| Schätzung \| Estimation \| Nationaleinkommen \| National income

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1016/j.latcb.2020.100020 [DOI]
Classification:	E31 - Price Level; Inflation; Deflation ; C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012545648