Testing for integration using evolving trend and seasonals models: A Bayesian approach.
DOI10.1016/S0304-4076(99)00071-8zbMATH Open1079.62557OpenAlexW2014861477MaRDI QIDQ1586560FDOQ1586560
Authors: Gary Koop, Herman K. Van Dijk 
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
Recommendations
- Characterising economic trends by Bayesian stochastic model specification search
- A bayesian analysis of trend determination in economic time series
- Trends and cycles in economic time series: a Bayesian approach
- Bayesian estimation and model selection in the generalized stochastic unit root model
- Bayesian analysis of seasonal unit roots and seasonal mean shifts
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
Cites Work
- Title not available (Why is that?)
- Seasonal integration and cointegration
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Partial non-Gaussian state space
- On Gibbs sampling for state space models
- Marginal Likelihood from the Gibbs Output
- Using simulation methods for bayesian econometric models: inference, development,and communication
- Title not available (Why is that?)
- The simulation smoother for time series models
- Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
- Bayes Factors
- Title not available (Why is that?)
- Bayesian forecasting and dynamic models.
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- Title not available (Why is that?)
- Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
- On the use of panel data in stochastic frontier models with improper priors
- Title not available (Why is that?)
- Bayes inference in regression models with ARMA\((p,q)\) errors
- A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
- Are apparent findings of nonlinearity due to structural instability in economic time series?
- Title not available (Why is that?)
- Title not available (Why is that?)
- A Bayesian analysis of the unit root in real exchange rates
- Title not available (Why is that?)
- A Bayesian multivariate nonstationary time series model for estimating mutual relationship among variables
Cited In (9)
- Semiparametric Bayesian inference in smooth coefficient models
- Characterising economic trends by Bayesian stochastic model specification search
- A bayesian analysis of trend determination in economic time series
- Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
- Trends and cycles in economic time series: a Bayesian approach
- Deciding between I(1) and I(0)
- Exploring economic time series: a Bayesian graphical approach
- Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
- Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
Uses Software
This page was built for publication: Testing for integration using evolving trend and seasonals models: A Bayesian approach.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1586560)
