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

DOI10.1016/S0304-4076(99)00071-8MaRDI QIDQ1586560zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bayes factorGibbs samplerSeasonalityState space modelsUnit root

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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Cited in

(9)

• A bayesian analysis of trend determination in economic time series
• Trends and cycles in economic time series: a Bayesian approach
• Exploring economic time series: a Bayesian graphical approach
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• Semiparametric Bayesian inference in smooth coefficient models
• Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
• Characterising economic trends by Bayesian stochastic model specification search
• Deciding between I(1) and I(0)
• Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods

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