The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective

DOI10.1016/S0304-4076(99)00077-9MaRDI QIDQ1584765zbMATHOpenAlexFDO

Authors Paul Newbold, John Marriott

Publication date 17 August 2001

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(99)00077-9

zbMATH Keywords

Bayesian analysisstructural breaksposterior oddsunit autoregressive roots

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 720676 (Why is no real title available?)
• scientific article; zbMATH DE number 3273020 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• A Bayesian analysis of the unit root in real exchange rates
• An Asymtotic Theory of Bayesian Inference for Time Series
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Bayesian Comparison of ARIMA and Stationary ARMA Models
• Bayesian skepticism on unit root econometrics
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Classical and Bayesian aspects of robust unit root inference
• Large Sample Properties of Posterior Densities, Bayesian Information Criterion and the Likelihood Principle in Nonstationary Time Series Models
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Testing for unit roots in a Bayesian framework
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The exact likelihood function for a mixed autoregressive-moving average process
• Understanding Unit Rooters: A Helicopter Tour

Cited in

(8)

• A local unit root test in mean for financial time series
• A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
• Bayesian model selection for unit root testing with multiple structural breaks
• Unit‐root testing against the alternative hypothesis of up to m structural breaks
• Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
• Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries
• Bayesian tests for unit root and multiple breaks
• A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series

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