12 research outputs found
Bayesian analysis of output gap in Barbados
This article contributes to understanding the performance of various unobserved components (UC) models in fitting Barbados’ real GDP. Relying on recent UC models techniques, it finds support for the UC model that captures correlated disturbances, but not for the model that does not. The best model is the correlated UC model with two breaks: 1981 and 2008. Estimates show that the trend and cycle innovations are positively correlated. There is evidence suggesting that trend output growth has slowdown in the past decade. The Bayes factor result indicates that the GDP trend is better modeled as a stochastic process rather than a deterministic one
An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample
An Exact Discrete Analog to a Closed Linear First-Order Continuous-Time System with Mixed Sample
This article deals with the derivation of the exact discrete model that corresponds to a closed linear first-order continuous-time system with mixed stock and flow data. This exact discrete model is (under appropriate additional conditions) a stationary autoregressive moving average time series model and may allow one to obtain asymptotically efficient estimators of the parameters describing the continuous-time system.