An efficiency Bayesian unit root test in unobserved-ARCH models

DOI10.1080/03610918.2015.1134570MaRDI QIDQ5373901zbMATH OpenOpenAlexFDO

Authors Fazlolah Lak, Mahmoud Afshari, Behzad Gholizadeh

Publication date 27 October 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2015.1134570

zbMATH Keywords

autoregressive conditional heteroscedasticityBayes factorGibbs samplingMonte Carlo Markov chainunit rootunobserved-ARCH models

Mathematics Subject Classification ID

Bayesian inference (62F15) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(3)

• Bayesian unit root test in nonnormal AR(1) model
• Bayesian unit root testing in unobserved-ARCH models
• Bayesian unit-root testing in stochastic volatility models with correlated errors

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