Arbeitspapier
Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to US Consumption and Income
Stylized facts show that the average growth rates of US per capitaconsumption and income differ in recession and expansion periods.Since a linear combination of such series does not have to be a constant meanprocess, standard cointegration analysis between the variables, toexamine the permanent income hypothesis, may not be valid. To model thechanging growth rates in both series, we introduce a multivariate Markov trendmodel, which allows for different growth rates in consumption and incomeduring expansions and recessions. The deviations from the multivariateMarkov trend are modelled by a vector autoregressive model. Bayes estimates ofthis model are obtained using Markov chain Monte Carlo methods. The empiricalresults suggest that there exist a cointegration relation between US percapita disposable income and consumption, after correction for amultivariate Markov trend.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 99-024/4
- Klassifikation
-
Wirtschaft
- Thema
-
multivariate Markov trend
cointegration
MCMC
permanent income hypothesis
Einkommenshypothese
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Paap, Richard
van Dijk, Herman K.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
1999
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Paap, Richard
- van Dijk, Herman K.
- Tinbergen Institute
Entstanden
- 1999
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