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consumption. We investigate the robustness of these results to model uncertainty using Bayesian model averaging. We find that … there is model uncertainty with regard to the number of cointegrating vectors, the form of deterministic components, lag … length, and whether the cointegrating residuals affect consumption and income directly. Whether this uncertainty has …
Persistent link: https://www.econbiz.de/10005420623
"This paper develops a new approach to change-point modeling that allows for an unknown number of change points in the observed sample. Our model assumes that regime durations have a Poisson distribution. The model approximately nests the two most common approaches: the time-varying parameter...
Persistent link: https://www.econbiz.de/10002521761
Persistent link: https://www.econbiz.de/10001630849
Persistent link: https://www.econbiz.de/10001752001
Persistent link: https://www.econbiz.de/10001590063
The U.S. business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the U.S. economy. Bayesian methods are used...
Persistent link: https://www.econbiz.de/10001591424