Christophe Planas, Econometrics and applied statistics, Institute for the Protection and Security of the Citizen (IPSC), The European Commission, Joint Research Centre, Italy Title: The marginal likelihood of structural time series models with application to the US and the euro area NAIRU Time: Fri July 3, 2009, 1pm Place: Building 28, Room 2.123, Campus Golm, Universitaet Potsdam Abstract: We propose a new result that helps the calculation of the marginal likelihood in Gaussian structural time series (STS) models. For this we exploit the statistical properties of STS models and a theorem in Dickey (1968) to obtain the likelihood marginally to all variance parameters. Our strategy applies under inverted gamma- 2 prior distributions for the structural shocks variances. In general, we show that marginalizing with respect to variance parameters greatly improves the accuracy of both the Laplace and the modified harmonic mean estimators. Moreover, in some empirically relevant cases such as the local level and the local linear trend, it yields the marginal likelihood by single or double integration over a finite support. We use our methodology to analyze models for the NAIRU in the US and in the euro area. We also discuss the cases of STS models with variance breaks and Markov-switching heteroscedasticity.