seminario

["Stefano Tonellato" <stone@unive.it>]

AVVISO DI SEMINARIO

Venezia, 24 ottobre 2001 ore 10.30, presso il Dipartimento di Statistica
dell'Universitą Ca' Foscari di Venezia si terrą il seguente seminario:

Prof. Herman K. van Dijk
Econometric Institute - Erasmus University,  Rotterdam

BAYES ESTIMATES OF MARKOV TRENDS IN POSSIBLY COINTEGRATED SERIES:
ANAPPLICATION TO US CONSUMPTION AND INCOME

Riassunto

A Bayes procedure is sketched where the parameters of a bivariate
Hamilton
filter within an autoregressive model are estimated. Extensive use of
Markov
Chain Monte Carlo sampling is used. Special attention is paid to the
problem
of local nonidentification of the likelihood due to singularities in the
parameter space. The method is illustrated with US consumption and
income
series.