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Persistence in Economic Time Series: Interpretation, Measurement and Inference

Title
Persistence in Economic Time Series: Interpretation, Measurement and Inference
Funding
ARC | Discovery Projects
Contract (GA) number
DP0208333
Start Date
2002/01/01
End Date
2004/12/31
Open Access mandate
no
Organizations
-
More information
http://purl.org/au-research/grants/arc/DP0208333

 

  • Bayesian Analysis of Continuous Time Models of the Australian Short Rate

    This paper provides an empirical analysis of a range of alternative single-factor continuous time models for the Australian short-term interest rate. The models are indexed by the level effect parameter for the volatility in the short rate process. The inferential approach adopted is Bayesian, with estimation of the models proceeding via a Markov Chain Monte Carlo simulation scheme. Discrimination between the alternative models is based on Bayes factors, estimated from the simulation output u...

    Persistence and Nonstationary Models

    The aim of this paper is to examine the measurement of persistence in a range of time series models nested in the framework of Cramer (1961). This framework is a generalization of the Wold (1938) decomposition for stationary time series which, in addition to accommodating the standard I(0) and I(1) models, caters for alternative nonstationary processes. Three measures of persistence are considered, namely the long-run impulse response, variance ratio and autocorrelation functions. Particular ...

    Simulation-Based Bayesian Estimation of Affine Term Structure Models

    This paper demonstrates the application of Bayesian simulation-based estimation to a class of interest rate models known as Affine Term Structure (ATS) models. The technique used is based on a Markov Chain Monte Carlo algorithm, with the discrete observations on yields augmented by additional higher frequency latent data. The introduction of augmented yield data reduces the bias associated with estimating a continuous time model using discretely observed data. The technique is demon-strated u...
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