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Bayes estimates of Markov trends in possibly cointegrated series : an application to US consumption and income
Paap, Richard; Dijk, Herman K. van - 1999
expansion periods.Since a linear combination of such series does not have to be a constant meanprocess, standard cointegration … there exist a cointegration relation between US percapita disposable income and consumption, after correction for …
Persistent link: https://www.econbiz.de/10011301165
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Bayes estimates of Markov trends in possibly cointegrated series : an application to U.S. consumption and income
Paap, Richard; Dijk, Herman K. van - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 4, pp. 547-563
Persistent link: https://www.econbiz.de/10001807014
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Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model
Sugita, Katsuhiro - In: International journal of economics and finance 9 (2017) 3, pp. 49-56
Persistent link: https://www.econbiz.de/10011642177
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Bayesian analysis of a fractional cointegration model
Martin, Gael M. - In: Econometric reviews 20 (2001) 2, pp. 217-234
Persistent link: https://www.econbiz.de/10001596591
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Bayesian analysis of a Markov switching temporal cointegration model
Sugita, Katsuhiro - In: Japan and the world economy : international journal of … 20 (2008) 2, pp. 257-274
Persistent link: https://www.econbiz.de/10003685790
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Estimation of state changes in system descriptions for dynamic Bayesian networks by using a genetic procedure and particle filters
Lu, Jianjun; Tokinaga, Shozo - In: Economic modelling 39 (2014), pp. 138-145
Persistent link: https://www.econbiz.de/10010419966
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A new approach to the analysis of business cycle transitions in a model of output and employment
Krolzig, Hans-Martin; Toro, Juan - 2001
Persistent link: https://www.econbiz.de/10001560322
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Long memory and regime switching properties of current account deficits in the US
Chen, Shyh-wei - In: Economic modelling 35 (2013), pp. 78-87
Persistent link: https://www.econbiz.de/10010258949
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A new approach to the analysis of shocks and the cycle in a model of output and employment
Krolzig, Hans-Martin; Toro, Juan - 1999
Persistent link: https://www.econbiz.de/10001437105
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Regime shifts and the Canada/US exchange rate in a multivariate framework
Beckmann, Joscha; Czudaj, Robert - In: Economics letters 123 (2014) 2, pp. 206-211
Persistent link: https://www.econbiz.de/10010400293