Is It One Break or Ongoing Permanent Shocks That Explains U.S. Real GDP? A Bayesian Analysis Using Unobserved Component Model
| Title: | Is It One Break or Ongoing Permanent Shocks That Explains U.S. Real GDP? A Bayesian Analysis Using Unobserved Component Model |
|---|---|
| Authors: | Sui Luo; Richard Startz; Jel-classification C |
| Contributors: | The Pennsylvania State University CiteSeerX Archives |
| Source: | http://www.econ.washington.edu/people/jmc/Luo_jmpaper.pdf. |
| Publication Year: | 2012 |
| Collection: | CiteSeerX |
| Subject Terms: | trend-cycle decomposition; unobserved component model; structural break; uncertain break date |
| Description: | WeconductbothanapproximateBayesianModelAveraging(BMA) and an exact Bayesian analysis to incorporate break date uncertainty of the mean growth rate into the trend-cycle decomposition of U.S. real GDP. Our results suggest a structural break in mean growth rate of U.S. real GDP in 1970s. Comparing to the models assuming fixed break date, we find higher uncertainty in the posterior density of trend shock volatility and observe a bimodal distribution for trend shock volatility once the break date is allowed to be uncertain. The estimated trend component of U.S. real GDP from the Bayesian estimation shows some volatility. |
| Document Type: | text |
| File Description: | application/pdf |
| Language: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.297.4403; http://www.econ.washington.edu/people/jmc/Luo_jmpaper.pdf |
| Availability: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.297.4403; http://www.econ.washington.edu/people/jmc/Luo_jmpaper.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: | edsbas.749EF4C1 |
| Database: | BASE |