A hybrid time-varying parameter Bayesian VAR analysis of Okun’s law in the United States

Sune Karlsson () and Pär Österholm

Economics Letters, 2020, vol. 197, issue C

Abstract: Employing quarterly data on GDP growth and the unemployment rate ranging from 1948Q3 to 2019Q4, we study the stability of Okun’s law in the United States. This is done by estimating hybrid time-varying parameter Bayesian VAR models that allow for time-variation in none, one or both of the equations. Model comparison based on marginal likelihoods suggests that the relationship has not been stable. However, the amount of change in the dynamic relationship between the two variables is quantitatively very modest.

Keywords: Unemployment; GDP growth; Bayesian VAR; Time-varying parameters; Model selection (search for similar items in EconPapers)
JEL-codes: C11 C32 C52 E32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520303827

DOI: 10.1016/j.econlet.2020.109622

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