Bayesian Unit Root Test for Time Series Models with Structural Breaks

DOI10.1080/01966324.2007.10737699MaRDI QIDQ3511924zbMATH OpenOpenAlexWikidataFDO

Authors Anoop Chaturvedi, Jitendra Kumar

Publication date 11 July 2008

Published in American Journal of Mathematical and Management Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01966324.2007.10737699

zbMATH Keywords

autoregressive modelposterior odds ratioprior distribution

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Bayesian analysis of the unit root in real exchange rates
• Bayesian skepticism on unit root econometrics
• Bayesian unit root test in nonnormal AR(1) model
• scientific article; zbMATH DE number 1241062 (Why is no real title available?)
• scientific article; zbMATH DE number 1241069 (Why is no real title available?)
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach
• Testing for unit roots in a Bayesian framework
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Understanding Unit Rooters: A Helicopter Tour
• Unit Roots, Cointegration, and Structural Change

Cited in

(11)

• The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
• Bayesian model selection for unit root testing with multiple structural breaks
• Bayesian inference of C-AR(1) time series model with structural break
• Bayesian unit root test for model with maintained trend
• Unit roots: Bayesian significance test
• Unit root test of autoregressive time series model with partially linear time trend: a Bayesian approach
• A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series
• Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
• Bayesian tests for unit root and multiple breaks
• Bayesian computation and analysis of C-PAR(1) time series model with structural break
• Panel data unit root test with structural break: a Bayesian approach

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