SUMMARY Vector autoregressive methods have been used to model the interrelationships between job vacancy rates, job separation rates and job‐finding rates using tools such as impulse response analysis. We investigate whether such impulse responses change across the business cycle or over time,...

This paper outlines an approach to Bayesian semiparametric regression in multiple equation models which can be used to carry out inference in seemingly unrelated regressions or simultaneous equations models with nonparametric components. The approach treats the points on each nonparametric...

Bayesian Analysis, Computation and Communication (BACC) is a new Bayesian software package which is linked to Gauss and takes the form of a set of Gauss commands. In this review, I outline a list of qualities that a Bayesian software package should have. I then discuss whether BACC has these...

Due to weaknesses in traditional tests a Bayesian approach is developed to investigate whether unit roots exist in macroeconomic time-series. Bayesian posterior odds comparing unit root models to stationary and trend-stationary alternatives are calculated using informative priors. Two classes of...