Bayesian tests for unit root and multiple breaks
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Recommendations
- Bayesian model selection for unit root testing with multiple structural breaks
- Bayesian Unit Root Test for Time Series Models with Structural Breaks
- Testing for unit roots in a Bayesian framework
- Unit root tests in the presence of multi-variance break and level shifts that have power against the piecewise stationary alternative
- Unit root tests based on IV estimators for time series with multiple breaks
Cites work
- Bayesian skepticism on unit root econometrics
- Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data
- Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Monte Carlo methods in Bayesian computation
- Residual‐based block bootstrap unit root testing in the presence of trend breaks
- Testing for unit roots in a Bayesian framework
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
- Unit root tests based on IV estimators for time series with multiple breaks
Cited in
(4)- 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 Unit Root Test for Time Series Models with Structural Breaks
- Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
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