Exploring economic time series: a Bayesian graphical approach

J. M. Marriott, J. C. Naylor and Andrew Tremayne

Econometrics Journal, 2003, vol. 6, issue 1, 124-145

Abstract: Many macroeconomic time series exhibit non-stationary behaviour. When modelling such series an important problem is to assess the nature of this non-stationary behaviour. Initial interest centred on two types of linear non-stationary models, namely those for which the removal of a trend induces stationarity and those for which taking the first difference produces a stationary series. The latter are referred to as unit root models. More recently, other models such as state space models have proved popular. Copyright Royal Economic Society, 2003

Date: 2003
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