Bayes Estimates of Markov Trends in Possibly Cointegrated Series
可能协整序列中马尔可夫趋势的贝叶斯估计
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 constant mean process, standard cointegration analysis between the variables to examine the permanent income hypothesis may not be valid. To model the changing growth rates in both series, we introduce a multivariate Markov trend model that accounts for different growth rates in…