Bayes Estimates of Markov Trends in Possibly Cointegrated Series
提出一个多元马尔可夫趋势模型，允许消费和收入在衰退与扩张期有不同的增长率，并用贝叶斯方法估计，发现美国人均可支配收入与消费之间存在协整关系。
AbstractStylized 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 consumption and income during expansions and recessions and across variables within both regimes. The deviations from the multivariate Markov trend are modeled by a vector autoregression (VAR) model. Bayes estimates of this model are obtained using Markov chain Monte Carlo methods. The empirical results suggest the existence of a cointegration relation between U.S. per capita disposable income and consumption, after correction for a multivariate Markov trend. This result is also obtained when per capita investment is added to the VAR.KEY WORDS: CointegrationMarkov chain Monte CarloMultivariate Markov trendPermanent income hypothesis