The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
DOI10.1016/S0304-4076(99)00077-9zbMATH Open0966.62059OpenAlexW2084545158MaRDI QIDQ1584765FDOQ1584765
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
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Cites Work
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- Tests for Parameter Instability and Structural Change With Unknown Change Point
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- 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
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- An Asymtotic Theory of Bayesian Inference for Time Series
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- Understanding Unit Rooters: A Helicopter Tour
- Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
- Bayesian skepticism on unit root econometrics
- The exact likelihood function for a mixed autoregressive-moving average process
- An algorithm for the exact likelihood of a mixed autoregressive-moving average process
- Testing for unit roots in a Bayesian framework
- A Bayesian analysis of the unit root in real exchange rates
- Classical and Bayesian aspects of robust unit root inference
- Bayesian Comparison of ARIMA and Stationary ARMA Models
Cited In (8)
- A local unit root test in mean for financial time series
- Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
- 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
- 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
- Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries
- Unit‐root testing against the alternative hypothesis of up to m structural breaks
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