Dynamic probabilities of restrictions in state space models: An application to the Phillips curve

Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2010) Dynamic probabilities of restrictions in state space models: An application to the Phillips curve. Journal of Business and Economic Statistics, 28 3: 370-379. doi:10.1198/jbes.2009.07335

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Author Koop, Gary
Leon-Gonzalez, Roberto
Strachan, Rodney W.
Title Dynamic probabilities of restrictions in state space models: An application to the Phillips curve
Journal name Journal of Business and Economic Statistics   Check publisher's open access policy
ISSN 0735-0015
1537-2707
Publication date 2010-07
Sub-type Article (original research)
DOI 10.1198/jbes.2009.07335
Open Access Status
Volume 28
Issue 3
Start page 370
End page 379
Total pages 10
Place of publication Alexandria, United States
Publisher American Statistical Association
Collection year 2011
Language eng
Abstract Using the Savage–Dickey density ratio and an alternative approach that uses more relaxed assumptions, we develop methods to calculate the probability that a restriction holds at a point in time without assuming that the restriction holds at any other points in time. Both approaches use MCMC output only from the unrestricted model to compute the time-varying posterior probabilities for all models of interest. Using U.S. data, we find the probability that the long-run Phillips curve is vertical to be fairly high, but decreases over time. The probability that the NAIRU is not identified fluctuates over time, but increases after 1990. © 2010 American Statistical Association.
Keyword Bayesian
Savage-Dickey density ratio
State space model
Time-varying parameter model
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2011 Collection
School of Economics Publications
 
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Citation counts: TR Web of Science Citation Count  Cited 7 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 6 times in Scopus Article | Citations
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Created: Sun, 11 Jul 2010, 00:04:47 EST