The empirical support for a DSGE type of real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure that makes use of a finite mixture of many models within the class of vector autoregressive (VAR) processes. The linear VAR model is extended to...

The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date...

We compare a number of widely used trend-cycle decompositions of output in a formal Bayesian model comparison exercise. This is motivated by the often markedly different results from these decompositions — different decompositions have broad implications for the relative importance of real...

This paper reconciles two widely used trend-cycle decompositions of GDP that give markedly different estimates: the correlated unobserved components model yields output gaps that are small in amplitude, whereas the Hodrick-Prescott (HP) filter generates large and persistent cycles. By embedding...