Markov Trends in Macroeconomic Time Series
(Markov Trends in Macro economische Tijdreeksen)
1997-11-27
Doctoral Thesis
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Many macroeconomic time series are characterised by long periods of positive growth, expansion periods, and short periods of negative growth, recessions. A popular model to describe this phenomenon is the Markov trend, which is a stochastic segmented trend where the slope depends on the value of an unobserved two-state first-order Markov process. The two slopes of the Markov trend describe the growth rates in the two phases of the business cycle. This thesis deals with a Bayesian analysis of univariate and multivariate macroeconomic time series using Markov trend models. We consider Bayesian methods to analyse the presence of stochastic trends and the business cycle.
Dijk, Prof. Dr. H.K. van (promotor)
- trend
- model
- markov
- series
- cointegration
- markov trend
- parameter
- section
- speci
- cation
- analysis
- time series
- markov trend model
- factor
- bayesian
- distribution
- speci cation
- business cycle
- unit roots
- probability
