Although the share of service sector in Côte d’Ivoire’s real GDP is higher than other sectors, it is widely recognized that the Ivorian economy is mainly based on agricultural sector and thus the fluctuations in this ‘motor’ sector could have a huge impact on the growth process of the...

In this paper, a Bayesian version of the exponential smoothing method of forecasting is proposed. The approach is based on a state space model containing only a single source of error for each time interval. This model allows us to improve current practices surrounding exponential smoothing by...

We show that the use of prior information derived from former empirical findings and/or subject matter theory regarding the lag structure of the observable variables together with an AR process for the error terms can produce univariate and single equation models that are intuitively appealing,...

This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where...

This paper investigates the merger wave hypothesis for the US and the UK employing a Markov regime switching model. Using quarterly data covering the last thirty years, for the US, we identify the beginning of a merger wave in the mid 1990s but not the much-discussed 1980s merger wave. We argue...

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample...

A space-time filter structure is introduced that can be used to accommodate dependence across space and time in the error components of panel data models that contain random effects. This general specification encompasses several more specific space-time structures that have been used recently...

We document five novel empirical findings on the well-known potential ordering drawback associated with the time-varying parameter vector autoregression with stochastic volatility developed by Cogley and Sargent (2005) and Primiceri (2005), CSP-SV. First, the ordering does not affect point...