Testing for integration using evolving trend and seasonals models: A Bayesian approach.

DOI10.1016/S0304-4076(99)00071-8zbMath1079.62557OpenAlexW2014861477MaRDI QIDQ1586560

Hermann K. Van Dijk, Gary Koop

Publication date: 2000

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00071-8

zbMATH Keywords

Bayes factorGibbs samplerUnit rootSeasonalityState space models

Mathematics Subject Classification ID

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

Related Items

Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques* ⋮ Semiparametric Bayesian inference in smooth coefficient models ⋮ Characterising economic trends by Bayesian stochastic model specification search ⋮ Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods ⋮ Trends and cycles in economic time series: a Bayesian approach ⋮ Exploring economic time series: a Bayesian graphical approach

Uses Software

• partsm

Cites Work

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