Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...

Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...

Stylized facts show that the average growth rates of US per capita consumption and income differ in recession and expansion periods. Since a linear combination of such series does not have to be a constant mean process, standard cointegration analysis between the variables, to examine the...