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- Karlsson, Sune,Professor,1960-Örebro universitet,Handelshögskolan vid Örebro Universitet (author)
A Hybrid Time-Varying Parameter Bayesian VAR Analysis of Okun’s Law in the United States
- Article/chapterEnglish2020
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- Elsevier,2020
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- LIBRIS-ID:oai:DiVA.org:oru-86246
- https://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-86246URI
- https://doi.org/10.1016/j.econlet.2020.109622DOI
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- Language:English
- Summary in:English
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- Employing quarterly data on GDP growth and the unemployment rate ranging from 1948Q3 to 2019Q4, we study the stability of Okun’s law in the United States. This is done by estimating hybrid time-varying Bayesian VAR models that allow for time-variation in none, one or both of the equations. Model comparison based on marginal likelihoods suggests that the relationship has not been stable. However, the amount of change in the dynamic relationship between the two variables is quantitatively very modest.
Subject headings and genre
- SAMHÄLLSVETENSKAP Ekonomi och näringsliv Nationalekonomi hsv//swe
- SOCIAL SCIENCES Economics and Business Economics hsv//eng
- Unemployment
- GDP growth
- Bayesian VAR
- Time-varying parameters
- Model selection
- Economics
- Nationalekonomi
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- Österholm, Pär,1974-Örebro universitet,Handelshögskolan vid Örebro Universitet,National Institute of Economic Research, Sweden(Swepub:oru)pom (author)
- Örebro universitetHandelshögskolan vid Örebro Universitet (creator_code:org_t)
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- In:Economics Letters: Elsevier1970165-17651873-7374
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