Bayesian Analysis of Stochastic Trends in Structural Time Series Models
A1.89 WP 9663/A
Posted: 25 Feb 1998
Date Written: 1996
Abstract
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 autoregressive representation or in a separate state equation.
JEL Classification: C30; C32
Suggested Citation: Suggested Citation
Koop, Gary M. and van Dijk, Herman K., Bayesian Analysis of Stochastic Trends in Structural Time Series Models (1996). A1.89 WP 9663/A, Available at SSRN: https://ssrn.com/abstract=59728
Gary M. Koop
University of Leicester - Department of Economics ( email )
University Road
Leicester LE1 7RH
United Kingdom
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.