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Discussion Paper

Model Determination and Macroeconomic Activity

The subject of this paper is modelling, estimation, inference and prediction for economic time series. Bayesian and classical approaches are considered. The paper has three main parts. The first is concerned with Bayesian model determination, forecast evaluation and the construction of evolving sequences of models that can adapt in dimension and form (including the way in which any nonstationarity in the data is modelled) as new characteristics in the data become evident.