In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...

This discussion paper resulted in an article in <I>Computational Statistics & Data Analysis</I> (2012). Vol. 56(11), 3398-3414.<p> Strategic choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical...</p></i>

This discussion paper resulted in a publication IN the <a HREF="http://people.few.eur.nl/hkvandijk/PDF/Koop_and_Van_Dijk_2000_JoE_testing_for_integration.pdf">'Journal of Econometrics'</a>, 2000, 97(2), 261-291.<p> In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the...</p>

The streaky hitting patterns of all regular baseball players during the 2005 season are explored. Patterns of hits/outs, home runs and strikeouts are considered using different measures of streakiness. An adjustment method is proposed that helps in understanding the size of a streakiness measure...

The paper introduces Bayesian inference into a demand model. This allows us to test for the negativity condition of the substitution matrix which is difficult to handle directly in the traditional approach. To illustrate the Bayesian inference procedures, we estimate the Rotterdam model and test...

While some improper priors have attractive properties, it is generally claimed that Bartlett’s paradox implies that using improper priors for the parameters in alternative models results in Bayes factors that are not well defined, thus preventing model comparison in this case. In this paper we...

Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior distributions. We focus on the situation where one makes use of importance sampling or the independence chain...

Stochastic-variance models are important in describing and forecasting time-varying volatilities of financial time series. The introduction of jump components, in both the returns and the volatility process, improves the fit to the data. The goal of this paper is to examine the effectiveness of...

This paper attempts to identify robust patterns of cross-country growth behavior in the world as a whole and Africa. It employs a novel methodology that incorporates a dynamic panel estimator, and Bayesian Model Averaging to explicitly account for model uncertainty. The findings indicate that:...