Bayes Estimates of Markov Trends in Possibly Cointegrated Series
- 1 October 2003
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 21 (4) , 547-563
- https://doi.org/10.1198/073500103288619296
Abstract
Stylized facts show that average growth rates of U.S. per capita consumption and income differ in recession and expansion periods. Because a linear combination of such series does not have to be a ...Keywords
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