Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2007
A Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated, together with the presence and e¤ects of permanent shocks....