Bayesian model selection for unit root testing with multiple structural breaks
From MaRDI portal
Publication:1659151
Recommendations
Cites work
- scientific article; zbMATH DE number 3357742 (Why is no real title available?)
- A Bayesian analysis of the unit root in real exchange rates
- A bayesian analysis of trend determination in economic time series
- A candidate's formula: A curious result in Bayesian prediction
- Bayesian analysis of autoregressive moving average processes with unknown orders
- Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
- Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
- Bayesian inference on periodicities and component spectral structure in time series
- Bayesian skepticism on unit root econometrics
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Deciding between I(1) and I(0)
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Bayesian Inference for Dynamic Mixture Models
- Efficient Tests for an Autoregressive Unit Root
- Estimating the dimension of a model
- Estimation and Forecasting in Models with Multiple Breaks
- Estimation and comparison of multiple change-point models
- Estimation and inference for exponential smooth transition nonlinear volatility models
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Monte Carlo sampling methods using Markov chains and their applications
- On Bayesian model and variable selection using MCMC
- Priors for unit root models
- ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
- Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes
- TIME SERIES ANALYSIS OF BOUNDED ECONOMIC VARIABLES
- Testing a Point Null Hypothesis: The Irreconcilability of P Values and Evidence
- Testing for a unit root in time series regression
- Testing for unit roots in a Bayesian framework
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing precise hypotheses. With comments and a rejoinder by the authors
- The Bayesian Choice
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
- Understanding Unit Rooters: A Helicopter Tour
- Unit roots and structural breaks in OECD unemployment
Cited in
(10)- Forecasting seasonal time series data: a Bayesian model averaging approach
- A local unit root test in mean for financial time series
- Bayesian Unit Root Test for Time Series Models with Structural Breaks
- Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
- Bayesian estimation and model selection in the generalized stochastic unit root model
- Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
- The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
- Unit roots and structural breaks in OECD unemployment
- 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
This page was built for publication: Bayesian model selection for unit root testing with multiple structural breaks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1659151)
