In this final article of our three-part series, we demonstrate why stochastic coefficients models are well suited to predict future variables We analyze the forecasting problem and consider various criteria of prediction If a forecaster must choose one from among several coherent predictors,...

We compare methods to measure comovement in business cycle data using multi-level dynamic factor models. To do so, we employ a Monte Carlo procedure to evaluate model performance for different specifications of factor models across three different estimation procedures. We consider three general...

Massively parallel desktop computing capabilities now well within the reach of individual academics modify the environment for posterior simulation in fundamental and potentially quite advantageous ways. But to fully exploit these benefits algorithms that conform to parallel computing...

A Monte Carlo experiment is used to examine the size and power properties of alternative Bayesian tests for unit roots. Four different prior distributions for the root that is potentially unity – a uniform prior and priors attributable to Jeffreys, Lubrano, and Berger and Yang – are used in...

Many prior studies on the government-growth nexus have focused on Keynesian (Keynes, 1936) or neoclassical (Lucas, 1990) traditions, while a recent research strand has paid widespread attention to Barro (1990)'s non-linear perspective. Although modern complexity sciences suggest an overall...