Bayesian unit root testing for time series with heavy distribution

DOI10.3969/J.ISSN.1005-3085.2018.02.004MaRDI QIDQ4687875zbMATH OpenFDO

Authors Wei-Qi Liu, Ruixia He

Publication date 22 October 2018

Full work available at URL https://doi.org/10.3969/J.ISSN.1005-3085.2018.02.004

zbMATH Keywords

Bayes factorcredible intervalprior density functionunit root test

Mathematics Subject Classification ID

Bayesian inference (62F15) Parametric tolerance and confidence regions (62F25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(5)

• Bayesian model selection for unit root testing with multiple structural breaks
• A robust Bayesian approach for unit root testing
• Bayesian Unit Root Test for Time Series Models with Structural Breaks
• Bayesian unit root testing: the effect of choice of prior on test outcomes
• An efficiency Bayesian unit root test in unobserved-ARCH models

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