内容

目次

Part 1 Unit roots and cointegration: identification restrictions andposterior densities in cointegrated Gaussian VAR systems, Luc Bauwens andMichel Lubrano; trends and cycles as unobserved components in macroeconomictime series - a Bayesian perspective, David N. DeJong and Charles H.Whiteman; a Bayesian analysis of unit root and cointegration with anapplication to a Yen-Dollar exchange rate model, Hiroki Tsurumi and HajimeWago. Part 2 Time series with structural breaks: analyzing thresholdautoregressions with a Bayesian approach, Peyton Cook and Lyle Broemeling; aBayesian search for structural breaks in US GNP, David N. DeJong; areinterest rates responsible for unemployment in the eighties? a Bayesiananalysis of cointegrated relationship with a regime shift, David de la Croixand Michel Lubrano; forecasting and assessing structural change using theBayesian dynamic linear model - the case of promotional campaigns, Andy Pole.Part 3 Applied time series analysis: the term structure of interest rates -an empirical investigation using multiprocess mixture models, Basma Bekdache;price and trading volume effects of introducing foreign exchange futuresoptions trading, Robert A. Connolly; Bayesian forecasting with stableseasonal patterns, Enrique de Alba and Manuel Mendoza; scored sequentialforecasting of New Zealand foreign exchange rates using mixture distribution,Garce Johnson et al.